House Price Dynamics, Optimal LTV Limits and the Liquidity Trap

• 成果类型: Article
• 署名作者: Ferrero, Andrea; Harrison, Richard; Nelson, Benjamin
• 署名单位: Centre for Economic Policy Research - UK; University of Oxford; Bank of England
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdad040
• 发表日期: 2024
• 页码: 940-971
• 关键词: Macroprudential policies; optimal monetary; collateral constraints; capital regulation; credit; crises; MODEL; consistent; inflation; micro

摘要

This paper studies the optimal design of a macro-prudential instrument, a loan-to-value (LTV) limit, and its implications for monetary policy in a model with nominal rigidities and financial frictions. The analysis accounts for both an effective lower bound on the nominal interest rate and an upper bound on the ability of LTV limits to stimulate credit demand. The welfare-based loss function features a role for macro-prudential policy to enhance risk-sharing. Optimal LTV limits are strongly countercyclical. In a house price boom-bust episode, the active use of LTV limits alleviates debt-deleveraging dynamics and prevents the economy from falling into a liquidity trap.