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ADBI 20th Annual The Effects of Macro-

Conference
The views expressed in this presentation are the
prudential Policies on
views of the author and do not necessarily reflect
the views or policies of the Asian Development
Bank Institute (ADBI), the Asian Development
House Prices: Evidence
Bank (ADB), its Board of Directors, or the
governments they represent. ADBI does not
guarantee the accuracy of the data included in this
from an Event Study Using
paper and accepts no responsibility for any
consequences of their use. Terminology used may
not necessarily be consistent with ADB official
Korean Real-Transaction
terms.
Data
Hosung Jung and Jieun Lee

Presented by Jieun Lee

Economic Research Institute


Bank of Korea

The views expressed here are those of the authors and do not
necessarily reflect the views and policies of the Bank of Korea.
Table of Contents

Ⅰ. Background and Motivation

Ⅱ. Macroprudential Policies and Housing Prices

Ⅲ. Conclusion and Policy Implications


Background & Motivation

 Household debt increases with housing prices

 Growth in household debt exceeds that in HPI in the recent years

Percentage growth in household


Housing prices and household debt debt and house price index (HPI)

Source : BOK 3
Background & Motivation
 The gap between household debt and disposable income
increases right before the GFC and again since 2013
 Household debt to disposable income ratio in Korea is above
the average of OECD
Household debt and Income Household debt to income ratio

Source : BOK & OECD 4


Background & Motivation
Major changes in LTV & DTI regulations
Time Policy Range of Direction # of Districts
Application (Gu)
Sep. 2002 Limit LTV ratio to less than 60% Banks and Tighten ?
Insurance
Mar. 2004 Raise LTV ratio limit for installment loans(60%->70%) All Financial Loosen ?
Institutions
Aug. 2005 Limit DTI ratio to less than 60% Banks and Tighten ?
Insurance
Nov. 2006 Designate speculative zones and lower LTV ratio Tighten 13
limits
Nov. 2008 Remove all areas except three Gangnam districts off All Financial Loosen 50
the list of speculative zones Institutions
Jul. 2009 Lower LTV ratio limit for Seoul metropolitan Banks Tighten 3
area(60%->50%)
Sep. 2009 Expand DTI regulated areas to non-speculative zones Banks Tighten 61
in Seoul metropolitan area
Sep. 2010 Temporary suspension of DTI regulations on non- All Financial Loosen 61
speculative zones in Seoul metropolitan area Institutions
Aug. 2014 Raise LTV ratio limit to 70% and All Financial Loosen 68
Raise DTI ratio limit to 60% Institutions
5
Notes: LTV (loan to value) : housing types, housing price, housing size, types of financial institutions, loan structure
DTI (debt to income) : location, types of financial institutions, housing price, housing size, borrowers’ characteristics
mortgage loan rate, loan structure
Background & Motivation
LTV regulation and house price growth
Tightening of LTV Loosening of LTV
5
0
-5

2006m1 2008m1 2010m1 2012m1 2014m1 2016m1

Whole county Seoul metropolitan area Non seoul metropolitan area 6


Background & Motivation
DTI regulation and house price growth
Tightening of DTI Loosening of DTI
5
0
-5

2006m1 2008m1 2010m1 2012m1 2014m1 2016m1

Whole country Seoul metropolitan area Non seoul metropolitan area


7
Research Questions
Do Macroprudential policies impact on housing prices?
- Do LTV and DTI limits impact on housing prices?
- Which policies are more effective?

 Previous studies examine the effectiveness of LTV and DTI regulations using
cross-country or single country with macro/city level data or focusing on
general equilibrium models
- Cross-country studies (e.g., Crowe et al. (2013), Ceruttie et al. (2017), Kutter
and Shim (2016), Bruno et al.)
- Single country studies (e.g., Igan and Kang (2011), Kim (2013), Craig and
Hua (2011) )
- General equilibrium model (e.g., Antipa and Lecat (2010), Kanan et al.,
(2012), Lambertini et al., (2013), Chen and Columba (2016))

8
Contributions of this study

 The use of disaggregated data


• This enables us to evaluate the effectiveness of macroprudential
policies by focusing on the targeted locations
• Usage of Korea’s Case-Shiller’s House Price Index at
district (Gu) level (Kim and Jung (2015))

 The separation of LTV and DTI regulation effects

 The finding of the various factors that are likely to


affect the regulation effects
9
Empirical Analysis

 Adopting the Event Study Methodology


- Event: Adoption of the LTV and DTI limit regulations
- Outcome variable: Monthly API (Apartment Price Index) growth
rate : Ri,t= log(APIi,t)-log(APIi,t-1)
- Event window: 5 months before and 5 months after the adoption
of the regulation
- Sample period : Mar. 2006 – Jun. 2015
- Number of regulated districts : 74 districts
Seoul Metropolitan areas : 64 districts (Seoul: 25 districts)
Non-Seoul Metropolitan areas : 10 districts

10
Empirical Analysis

 Calculation of the Abnormal Return (AR)


For a given district i, 𝐴𝑅𝑖𝑡 = 𝑅𝑖𝑡 - E(𝑅𝑖𝑡 ) = 𝑅𝑖𝑡 - 𝑅𝑖
where 𝑅𝑖 is the average return of district i over the non-event periods

 Calculation of the Average of Abnormal Return (AAR)


For a given district i, it is calculate as the average of the ARs from t1 to t2
1 𝑡2
AAR(t1,t2)i =
𝑡2−𝑡1+1 𝑡1 𝐴𝑅𝑖

 Calculation of the Cumulative Abnormal Return (CAR)


For a given district i, it is calculated as the sum of the ARs from t1 to t2
11
Empirical Analysis
Macroprudential Policies and Housing Prices
Event Tightening (74 districts) Loosening (73 districts)
Month ARCMR(%) ARMR(%) % of AR > 0 Turnover ARCMR(%) ARMR(%) % of AR > 0 Turnover
-5 2.039*** 2.203*** 0.72 0.94 -0.670** -0.397** 0.44 0.51
-4 2.093*** 2.249*** 0.73 0.79 -0.158 0.118 0.47 0.38
-3 0.804*** 0.964*** 0.66 0.7 -1.314*** -1.037*** 0.35 0.39
-2 1.003*** 1.164*** 0.61 0.61 -0.671** -0.394** 0.4 0.36
-1 0.940*** 1.103*** 0.67 0.65 -1.514*** -1.236*** 0.34 0.32
0 0.621*** 0.781*** 0.6 0.64 -1.285** -1.006** 0.45 0.39
1 -0.15 0.016 0.46 0.54 -1.136** -0.858** 0.46 0.46
2 -0.517 -0.35 0.42 0.43 0.407** 0.685** 0.53 0.51
3 -0.038 0.128 0.51 0.47 0.206* 0.483* 0.55 0.47
4 0.159 0.325 0.59 0.52 0.115 0.391 0.56 0.49
5 0.801*** 0.967*** 0.58 0.47 0.847*** 1.121*** 0.65 0.59
6 -0.581* -0.414* 0.44 0.45 0.455*** 0.728*** 0.61 0.57
7 -0.805** -0.639** 0.43 0.48 -0.011 0.26 0.54 0.67
8 -0.428 -0.26 0.48 0.48 0.363** 0.638** 0.56 0.58
9 -0.28 -0.112 0.5 0.42 0.159 0.432 0.59 0.57
10 0.185 0.354 0.49 0.44 0.554*** 0.826*** 0.59 0.56
Average(-5,-3) 1.645*** 1.805*** 0.83 0.81 -0.714*** -0.438*** 0.29 0.43
Average(-2,0) 0.855*** 1.016*** 0.7 0.63 -1.157*** -0.879*** 0.27 0.36
Average(1,3) -0.235** -0.069** 0.39 0.48 -0.174 0.103 0.53 0.48
Average(4,6) 0.126*** 0.293*** 0.52 0.48 0.472*** 0.747*** 0.69 0.55
Average(7,9) -0.504*** -0.337*** 0.37 0.46 0.170*** 0.443*** 0.58 0.61

12
Note : Turnover: # of transaction/ # of households
Empirical Analysis
LTV/DTI Policies and Housing Prices
Tightening Loosening
Event LTV DTI LTV DTI LTV&DTI
(24 districts) (73 districts) (73 districts) (73 districts) (62 districts)
Month ARCMR ARMR ARCMR ARMR ARCMR ARMR ARCMR ARMR ARCMR ARMR
-5 1.630* 1.665* 2.092*** 2.272*** -0.670** -0.397** -0.614* -0.327* 0.362 0.635
-4 0.528 0.565 2.296*** 2.468*** -0.158 0.118 -0.34 -0.05 0.437 0.713
-3 1.383* 1.418* 0.729*** 0.905*** -1.314*** -1.037*** -1.311** -1.019** -1.499** -1.221**
-2 2.279*** 2.312*** 0.838*** 1.016*** -0.671** -0.394** -0.928** -0.637** -0.773 -0.496
-1 3.344*** 3.369*** 0.629*** 0.809*** -1.514*** -1.236*** -1.699*** -1.405*** -1.956*** -1.676***
0 3.360*** 3.375*** 0.267 0.445 -1.285** -1.006** -1.466** -1.172** -2.360*** -2.077***
1 2.328*** 2.351*** -0.471 -0.287 -1.136** -0.858** -1.751*** -1.457*** -2.918*** -2.634***
2 0.862 0.89 -0.695** -0.511** 0.407** 0.685** 0.408* 0.700* 0.324 0.607
3 0.892 0.925 -0.159 0.025 0.206* 0.483* 0.352** 0.643** 0.183 0.463
4 0.557 0.591 0.107 0.291 0.115 0.391 0.261 0.552 0.256 0.537
5 -0.23 -0.195 0.934*** 1.117*** 0.847*** 1.121*** 0.942*** 1.230*** 1.180*** 1.459***
6 1.021 1.058 -0.788* -0.605* 0.455*** 0.728*** 0.615*** 0.902*** 0.772*** 1.050***
7 1.113 1.149 -1.053*** -0.870*** -0.011 0.26 -0.374 -0.089 0.409* 0.686*
8 1.689* 1.725* -0.702** -0.518** 0.363** 0.638** 0.443** 0.733** 0.664*** 0.940***
9 -1.085 -1.05 -0.176 0.009 0.159 0.432 0.16 0.448 0.632** 0.908**
10 0.817 0.853 0.103 0.289 0.554*** 0.826*** 0.566*** 0.853*** 1.424*** 1.699***
Average (-5,-3) 1.180*** 1.216*** 1.706*** 1.882*** -0.714*** -0.438*** -0.755*** -0.465*** -0.233 0.042
Average (-2,0) 2.994*** 3.019*** 0.578*** 0.757*** -1.157*** -0.879*** -1.364*** -1.071*** -1.697*** -1.416***
Average (1,3) 1.361*** 1.389*** -0.442** -0.258** -0.174 0.103 -0.331** -0.038** -0.804** -0.521**
Average (4,6) 0.449 0.485 0.084** 0.268** 0.472*** 0.747*** 0.606*** 0.895*** 0.736*** 1.015***
Average (7,9) 0.573 0.608 -0.644*** -0.460*** 0.170*** 0.443*** 0.077*** 0.364*** 0.568*** 0.845***

13
Empirical Analysis
Macroprudential Policies and Cumulative Abnormal Returns (CAR)
Tightening LTV Tightening DTI Tightening

30

10
10

8
8

20

6
6

10
%

%
4
4

2
2

CAR 95% CI CAR 95% CI CAR 95% CI


-10
0

0
-6 -4 -2 0 2 4 6 8 10 -6 -4 -2 0 2 4 6 8 10 -6 -4 -2 0 2 4 6 8 10
month month month

Loosening LTV Loosening DTI Loosening


3

0
0

-2
-2

1
-4 %

%
-4
0

-6
-6

-1

CAR 95% CI CAR 95% CI CAR 95% CI

-8
-2
-8

-6 -4 -2 0 2 4 6 8 10 -6 -4 -2 0 2 4 6 8 10 -6 -4 -2 0 2 4 6 8 10
month month month

Note: We accumulate the abnormal returns from 6 months before the implementation
date of the event’s being reported, and then keep accumulating until 10 months shown 14
on the horizontal axis.
Empirical Analysis
Tightening of LTV/ DTI limits and average abnormal returns (AAR)

Pre-event AARs Post-event AARs

15
Empirical Analysis
Loosening of LTV/ DTI limits and average abnormal returns (AAR)

Pre-event AARs Post-event AARs

16
Empirical Analysis
Regression Analysis (Event Study) : Extended model of Ayer(2002)
=> OLS with city dummies and clustered standard errors at the district level

(ARCMR or ARMR)i,t= 𝛽0 + 𝛼1 POST[1,5]i,t + 𝛽1 CONTROL + 𝜖𝑖,𝑡

ARCMR: the abnormal return for sample district i determined using the constant
mean return model
ARMR: the abnormal return for sample district i determined using the market
adjusted return model
POST[1,5]: a dummy variable equal to 1 for the post-regulation period
covering the period from t=+1 to +5 months, and zero otherwise
Event window: eleven abnormal returns for each sample district — the five
months leading up to the regulatory enforcement [-5,-1], event,
the next five months after the event[1,5]

17
Empirical Analysis
Control variables (Xi,t)
Region-specific variables
UNSOLD: unsold inventory of houses (%)
∆log(INDIDX): change in log industrial productivity index
TURNOVER(%): the number of household transaction/the number of household
JTP: Jeonse-to-price ratio
I{MIGRATION}: a dummy variable equal to 1 for positive net migration, and
zero otherwise
SPILLOVER: the average rate of house price growth in the three neighboring
districts the longest shared boarders
MORATE: the mortgage rate for city c at time t-1
Macroeconomic variables
∆log(M2): the monthly differences in the logarithm of the monetary aggregate
18
Empirical Analysis
Regulation tightening: Event window [-5,5]
ALL LTV DTI
VARIABLES ARCMR ARMR ARCMR ARMR ARCMR ARMR
POST[1,5] -0.738*** -0.726*** -0.598 -0.562 -0.886*** -0.875***
(-4.01) (-3.92) (-1.36) (-1.26) (-3.88) (-3.78)
UNSOLD -0.019 -0.021 -1.081*** -0.988*** -0.006 -0.010
(-0.45) (-0.68) (-3.45) (-3.34) (-0.13) (-0.29)
Δlog(INDIDX) 0.008 0.008 -0.020 -0.019 0.011 0.011
(0.72) (0.70) (-0.66) (-0.63) (1.04) (1.02)
TURNOVER 1.045*** 1.022*** 1.515*** 1.491*** 0.994*** 0.976***
(3.09) (3.02) (3.15) (3.19) (2.91) (2.82)
JTP 0.010 0.013 -0.164* -0.169** 0.034* 0.037**
(0.53) (0.74) (-2.05) (-2.11) (1.85) (2.05)
I{MIGRATION>0} -0.022 -0.059 -0.381 -0.388 0.033 -0.002
(-0.13) (-0.39) (-1.12) (-1.19) (0.20) (-0.01)
SPILLOVER 0.288*** 0.287*** 0.528*** 0.527*** 0.253*** 0.252***
(4.11) (4.12) (3.79) (3.78) (3.59) (3.60)
MORATE -0.192 -0.229 -0.255 -0.378 -0.170 -0.199
(-1.10) (-1.31) (-0.36) (-0.54) (-1.06) (-1.24)
Δlog(M2) 1.291*** 1.263*** 1.171 1.163 1.396*** 1.373***
(3.58) (3.52) (1.49) (1.49) (3.73) (3.65)
Constant 0.144 0.332 7.588* 8.586** -0.966 -0.826
(0.11) (0.25) (1.73) (2.13) (-0.80) (-0.68)
Observations 2,398 2,398 275 275 2,123 2,123
Adj.R-squared 0.09 0.09 0.16 0.15 0.08 0.08

19
Empirical Analysis
Regulation loosening: Event window [-5,5]
ALL LTV DTI LTV & DTI
VARIABLES ARCMR ARMR ARCMR ARMR ARCMR ARMR ARCMR ARMR
POST[1,5] 0.470*** 0.490*** -0.057 -0.052 0.463*** 0.489*** -0.363 -0.360
(3.76) (3.96) (-0.28) (-0.25) (2.84) (3.01) (-1.09) (-1.08)
UNSOLD -0.058 -0.073** -0.083 -0.094* -0.057 -0.065 -0.057 -0.049
(-1.51) (-2.21) (-1.46) (-1.80) (-1.41) (-1.64) (-0.89) (-0.82)
Δlog(INDIDX) 0.012 0.013 -0.018 -0.018 0.013 0.015 -0.024 -0.024
(0.80) (0.92) (-1.01) (-1.01) (0.78) (0.87) (-1.07) (-1.08)
TURNOVER 1.184*** 1.213*** 1.189*** 1.160*** 1.233*** 1.268*** 1.296*** 1.281***
(4.76) (4.80) (5.16) (4.92) (4.53) (4.58) (4.21) (4.04)
JTP -0.054*** -0.047*** -0.185*** -0.189*** -0.048*** -0.045*** -0.197*** -0.203***
(-5.33) (-4.71) (-6.37) (-6.45) (-3.94) (-3.73) (-5.45) (-5.54)
I{MIGRATION>0} 0.245 0.221 0.228 0.207 0.216 0.194 0.170 0.163
(1.42) (1.29) (1.00) (0.91) (0.97) (0.87) (0.52) (0.50)
SPILLOVER 0.221*** 0.222*** 0.173** 0.172** 0.251*** 0.253*** 0.207*** 0.206**
(3.98) (4.00) (2.36) (2.33) (4.63) (4.65) (2.66) (2.65)
MORATE -0.635*** -0.562*** -1.631*** -1.637*** -0.609*** -0.537*** -1.750*** -1.751***
(-5.87) (-5.32) (-6.55) (-6.58) (-4.83) (-4.36) (-5.71) (-5.72)
Δlog(M2) -0.102 -0.060 -0.492 -0.494 -0.096 -0.059 -0.545 -0.548
(-0.36) (-0.21) (-1.37) (-1.38) (-0.29) (-0.18) (-1.18) (-1.19)
Constant 4.871*** 4.326*** 17.313*** 17.747*** 4.468*** 4.099*** 18.673*** 19.173***
(5.34) (4.87) (6.31) (6.44) (4.11) (3.86) (5.45) (5.56)
Observations 2,145 2,145 1,386 1,386 1,716 1,716 957 957
Adj.R-squared 0.06 0.06 0.06 0.06 0.07 0.06 0.08 0.07
20
Empirical Analysis

Robustness checks

 LTV and DTI level and Changes in LTV and DTI

 Additional control variables : Macroeconomic variables and time


dummies (CPI, stock returns(KOSPI),GLOBAL LIQUIDITY)

 Different event windows

 Monthly abnormal returns

 Types of regulations (speculative zones and banking)

21
Empirical Analysis
Changes in LTV and DTI limits

Tightening Loosening
LTV DTI LTV DTI
VARIABLES ARCMR ARMR ARCMR ARMR ARCMR ARMR ARCMR ARMR
POST[1,5] -2.546** -2.548** -1.388* -1.366* -4.864*** -4.829*** 0.524 0.536*
(-2.12) (-2.12) (-1.70) (-1.68) (-3.83) (-3.82) (1.63) (1.67)
ΔLTV 0.024 0.052 -0.313** -0.298** -0.195** -0.190*** 0.053** 0.056**
(0.32) (0.65) (-2.04) (-2.02) (-2.63) (-2.78) (2.43) (2.38)
ΔDTI -0.075 -0.134 -0.011 -0.010 0.042** 0.040** 0.040* 0.039*
(-0.37) (-0.67) (-0.96) (-0.87) (2.52) (2.47) (1.90) (1.83)
POST[1,5]*ΔLTV -0.185** -0.189** 0.381*** 0.379***
(-2.09) (-2.15) (4.08) (4.08)
POST[1,5]*ΔDTI -0.011 -0.011 -0.006 -0.006
(-0.60) (-0.59) (-0.60) (-0.59)
CONTROL YES YES YES YES YES YES YES YES

22
Empirical Analysis
Macroeconomic variables
Tightening Loosening
ALL LTV DTI ALL LTV DTI
VARIABLES ARCMR ARCMR ARCMR ARCMR ARCMR ARCMR
POST[1,5] -0.705*** -0.794 -0.810*** 0.785*** 0.375 0.799***
(-3.73) (-1.60) (-3.46) (5.25) (1.60) (3.96)
UNSOLD -0.043 -1.241*** -0.029 -0.046 -0.078 -0.053
(-1.00) (-3.51) (-0.67) (-1.31) (-1.44) (-1.47)
Δlog(INDIDX) 0.003 -0.039 0.007 0.012 -0.021 0.013
(0.26) (-1.22) (0.62) (0.85) (-1.14) (0.83)
TURNOVER 1.130*** 1.664*** 1.102*** 1.019*** 0.829*** 1.057***
(3.28) (3.31) (3.11) (4.12) (3.45) (4.02)
JTP 0.027 -0.181* 0.051** 0.013 -0.109*** 0.012
(1.43) (-1.92) (2.54) (0.82) (-3.14) (0.69)
I{MIGRATION>0} 0.000 0.000 0.000 0.000 0.000 -0.000
(0.14) (0.27) (0.09) (0.44) (0.26) (-0.06)
SPILLOVER 0.307*** 0.550*** 0.275*** 0.197*** 0.142* 0.227***
(4.37) (3.76) (3.95) (3.51) (1.92) (4.09)
MORATE 0.469 2.003 0.607* -0.985*** -2.126*** -0.937***
(1.45) (1.26) (1.81) (-9.40) (-8.34) (-7.62)
GLIQ/GDP -0.029 -0.242 -0.040 0.201*** 0.244*** 0.190***
(-0.74) (-1.36) (-1.05) (5.28) (5.15) (4.47)
Observations 2,398 275 2,123 2,145 1,386 1,716
Adj.R-squared 0.09 0.15 0.08 0.06 0.07 0.07

23
Empirical Analysis
Different event windows
ALL LTV DTI ALL LTV DTI ALL LTV DTI
VARIABLES ARCMR ARCMR ARCMR ARCMR ARCMR ARCMR ARCMR ARCMR ARCMR
EVENT WINDOW [-2,2] [-2,2] [-2,2] [-3,3] [-3,3] [-3,3] [-5,9] [-5,9] [-5,9]
POST DUMMY [1,2] [1,2] [1,2] [1.3] [1.3] [1.3] [1,9] [1,9] [1,9]

Tightening
POST -0.749*** -0.399 -0.848*** -0.733*** -0.614 -0.839*** -0.990*** -0.354 -1.152***
(-2.85) (-0.99) (-2.86) (-3.09) (-1.23) (-3.21) (-5.50) (-0.88) (-5.29)
CONTROL YES YES YES YES YES YES YES YES YES
Observations 1,090 125 965 1,526 175 1,351 3,270 375 2,895
Adj.R-squared 0.07 0.22 0.04 0.06 0.21 0.03 0.09 0.15 0.08

Loosening
POST 0.447* 0.157 0.412 0.493** 0.227 0.465* 0.411*** -0.009 0.383***
(1.68) (0.48) (1.31) (2.51) (0.82) (1.88) (4.11) (-0.05) (3.27)
CONTROL YES YES YES YES YES YES YES YES YES
Observations 975 630 780 1,365 882 1,092 2,925 1,890 2,340
Adj.R-squared 0.08 0.09 0.08 0.07 0.08 0.07 0.06 0.06 0.07

24
Empirical Analysis
Types of regulations (Speculative zones and Bank)
Tightening Loosening
LTV DTI LTV DTI
VARIABLES ARCMR ARCMR ARCMR ARCMR ARCMR ARCMR ARCMR ARCMR
a1 POST[1,5] -1.825** -0.229 -0.887*** -0.851** 0.362** 0.422** 0.758*** 0.743***
(-2.34) (-0.45) (-3.92) (-2.62) (2.18) (2.64) (4.29) (4.60)
a2 POST[1,5]*SP 1.597* 0.869*** -1.056** -1.421***
(1.70) (3.12) (-2.03) (-2.83)
SP -1.763 -0.908*** 0.667 2.653***
(-1.02) (-2.92) (0.82) (4.80)
a2 POST[1,5]*BANK -1.597* 0.072 -1.990*** -2.072***
(-1.70) (0.24) (-2.86) (-3.46)
BANK 1.763 0.143 2.821*** 3.781***
(1.02) (0.38) (3.89) (5.59)

Control YES YES YES YES YES YES YES YES


a1+a2=0
(P-value) 0.654 0.028 0.955 0.003 0.154 0.018 0.130 0.017
Observations 275 275 2,123 2,123 1,386 1,386 1,716 1,716
Adj.R-squared 0.15 0.15 0.08 0.08 0.06 0.07 0.07 0.08

25
Conclusion

 Using district level data, we find that macroprudential policies could


be a useful tool to manage house prices in Korea
- DTI rather than LTV regulations appear to be more effective in
stabilizing house prices
- Both tightening and loosening DTI can be used as effective
macroprudential tools
- The levels and extents of changes LTV limits are important factors
that can amplify or reduce the regulation effects.
- The regulations appear to be less effective in the speculative
zones.

26
Thanks for your attention!

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Appendix
Event Descriptions : LTV regulations
# of LTV ratio LTV ratio Regulated
Event Date Description Direction
districts (before regulation) (after regulation) household ratio
Designate speculative zones
200611 13 56.1 47.5 15.5 Tighten
/Lower LTV limit ratio

200612 Designate speculative zones 3 64.7 51.2 2.7 Tighten

200701 Designate speculative zones 2 55.9 51.3 1.7 Tighten

200706 Designate speculative zones 1 65.3 52.0 1.2 Tighten

200709 Remove speculative zones 6 52.5 70.0 7.3 Loosen

200712 Designate speculative zones 2 65.4 52.4 0.6 Tighten

200801 Designate speculative zones 4 54.1 69.3 2.1 Loosen

200811 Remove speculative zones 50 51.8 61.4 47.2 Loosen

200907 Lower LTV limit ratio 3 61.2 55.1 2.1 Tighten

201205 Remove speculative zones 3 45.1 53.3 5.0 Loosen

201408 Raise LTV limit ratio 68 56.9 70.0 71.7 Loosen

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Appendix
Event Descriptions : DTI regulations
# of LTV ratio LTV ratio Regulated
Event Date Description Direction
districts (before regulation) (after regulation) household ratio
200611 Raise DTI limit ratio 1 100.0 89.9 2.4 Tightening
200701 Designate speculative zones 1 100.0 94.1 1.5 Tightening
200703 Raise DTI limit ratio 70 89.3 49.1 75.8 Tightening
200709 Remove speculative zones 6 52.2 100.0 7.3 Loosening
200801 Remove speculative zones 3 53.0 100.0 1.9 Loosening
200811 Remove speculative zones 58 48.0 100.0 61.8 Loosening
200909 Raise DTI limit ratio 61 100.0 64.9 61.9 Tightening
201009 Lower DTI limit ratio 61 94.2 100.0 62.4 Loosening
201104 Raise DTI limit ratio 61 93.7 59.1 62.9 Tightening
201205 Remove speculative zones 3 43.8 53.2 5.0 Loosening
201408 Lower DTI limit ratio 25 53.6 63.6 23.5 Loosening

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