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Essays on Credit, Asset Prices and Macro-Prudential Policy

Buchanan-Hodgman, Luke (2017) Essays on Credit, Asset Prices and Macro-Prudential Policy. Doctor of Philosophy (PhD) thesis, University of Kent,. (KAR id:69026)

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Abstract

Chapter one of this thesis examines the behaviour of credit volumes, asset prices and output

to the literature in three ways. Firstly, statistical analysis indicates that from 1985 onward

household credit becomes noticeably less volatile relative to output, whereas ?uctuations in

is signi?cant feedback between house prices and household credit. This result was robust to

are shown to Granger-Cause changes in house prices and credit volumes only during periods

the responses of credit and asset price variables to variety of shocks are sensitive to whether

are high a shock to the residual in the interest rate equation produces an ampli?ed response

agents in order to examine whether expectational shocks to the loan-to-value (LTV) ratio

are threefold. Firstly, when agents anticipate a future loosening of the LTV ratio and this

output all su?er a sharp decline. Secondly, the paper shows that in order to generate

shock to the LTV ratio, agents must be able to post a substantial quantity of the total value

as collateral signi?cantly ampli?es the cumulative loss of both output and house prices in

timated DSGE model with a banking sector. Both in the case of counter-cyclical capital

chored to house price growth. Using a conventional central bank loss function as the metric

ation of output of up to 7.38% in the case of a technology shock, and 22.14% in the case

this form exacerbates ?uctuations in in?ation in the case of technology shock in the region

capital, policy in this form unambiguously increases the variance of both output and in?a

in the case of a technology shock. The improvements in reducing the variance of output and

The model indicates that any improvement in stabilising output and in?ation is signi?cantly

of CCR

Item Type: Thesis (Doctor of Philosophy (PhD))
Thesis advisor: Otsu, Keisuke
Divisions: Faculties > Social Sciences > School of Economics
SWORD Depositor: System Moodle
Depositing User: System Moodle
Date Deposited: 10 Sep 2018 11:10 UTC
Last Modified: 29 May 2019 21:07 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/69026 (The current URI for this page, for reference purposes)
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