Abstract:This study evaluates the effects of macroprudential policy on Hong Kong's housing market using a multivariate ordered probit-augmented vector autoregressive model (MOP-VAR).The proposed MOP-VAR extends the conventional dummy policy variable approach by allowing explicit measurement of time-varying policy intensities that underlie policy rules, and thus facilitates analyses of bilateral relationship between house prices and multiple policy instruments when endogeneity exits among the instruments' intensities an… Show more
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