패널 VAR 모형을 이용한 주택 관련 거시건전성정책의 효과에 관한 연구 - 수도권 아파트가격을 중심으로 -

Loan-to-Value(LTV) and Debt-to-Income(DTI) limits have recently become two key instruments, which Korean policy makers can use in macroprudential policies to curb house prices. In order to validate the effects of these instruments, however, more studies should be conducted on the relationship between these policy variables and house prices in a greater depth. As a part of such endeavor, this paper analyzes the effects of changes in LTV and DTI limits on the apartment prices in the Seoul metropolitan area using a panel vector autoregressive(PVAR) model. Furthermore, the study compares the effects of these policy instruments between a group of administrative regions that experienced high rates of house price appreciation and its counterpart which underwent less rise in house prices. The study concludes that regulations on LTV and DTI ratios both produce intended results, while these instruments are more effective in areas with higher rates of house price appreciation. Moreover, the impacts caused by changes in DTI limits tend to be greater in initial magnitude and last for a shorter period of time compared to those by changes in LTV limits, which tend to have a longer duration. Furthermore, the study reveals that these ratios are endogenous to our set of variables with apartment prices and other macroeconomic factors. As LTV and DTI ratios were only recently introduced as tools in macroprudential policies, we need more studies that investigate multiple facets of the factors as well as implementations of novel methods of analysis.