Analyse de l'impact du ratio loan-to-value comme outil macroprudentiel

Abstract

The purpose of this paper is to analyze the impact of the loan-to-value ratio as a macroprudential tool. This paper analyzes the effect of existing limits on loan-to-value ratio on housing prices and it looks for evidence of the existing financial accelerator mechanism. The underlying mechanism of financial accelerator tested in this thesis is quite intuitive: if there is a shock that increases housing prices, it should increase households’ borrowing capacity because of existing limits on the maximum LTV ratio. This increasing borrowing capacity shifts out demand for housing and increases housing prices. The effect of the shock to housing prices should be higher, the higher maximum LTV ratio is. This research thesis is based on the theoretical model of Almeida et al. (2006). We used the same specifications they used by constructing three different equations. We test our hypothesis using a panel of nine countries over the 2006-2016 period. Our results are in line with the results presented by Almeida et al. (2006). Our findings provide evidence for the presence of the financial accelerator.