Loan-to-Value Policy as a Macroprudential Tool: The Case of Residential Mortgage Loans in Asia

8/21/2019 Loan-to-Value Policy as a Macroprudential Tool: The Case of Residential Mortgage Loans in Asia

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LDBK Yarokei Vlpnr Pnrkns

Cale-ta-Wlcun Vack`y ls l Hl`raprudnetklc Taac:Tmn @lsn ag Rnskdnetklc Hartilin Cales ke Lskl

Vntnr J. Harile, Vluca Jasë Rniks,led Ekhnsm Plckon

Ea. >2=Hly 26

Lskle Dnvncaphnet Bleo Kestktutn


2/28

Tmn Yarokei Vlpnr snrkns ks l àetkeultkae ag tmn garhnrcy elhnd Dksùsskae Vlpnr snrkns?tmn euhbnrkei ag tmn plpnrs àetkeund wktmaut ketnrruptkae ar `mlein. LDBK‛s warokeiplpnrs rngcn`t kektklc kdnls ae l tapk` led lrn pastnd aecken gar dksùsskae. LDBK neàurlinsrnldnrs ta past tmnkr àhhnets ae tmn hlke plin gar nl`m warokei plpnr (ikvne ke tmn`ktltkae bncaw). Pahn warokei plpnrs hly dnvncap keta atmnr garhs ag pubck`ltkae.

Puiinstnd ̀ ktltkae:

Harile, V., V. J. Rniks, led E. Plckon. 26. Cale-ta-Wlcun Vack`y ls l Hl`raprudnetklcTaac: Tmn `lsn ag Rnskdnetklc Hartilin Cales ke Lskl. LDBK Yarokei Vlpnr >2=. Taoya: Lskle Dnvncaphnet Bleo Kestktutn. Lvlkclbcn: mttp://www.ldbk.ari/warokei-plpnr/26/6>/2 Olsuhkilsnok, @mkyadl-ouTaoya >66Glx: +=;0->>9<^RC: www.ldbk.ariN-hlkc: kegaFldbk.ari

© 26 Lskle Dnvncaphnet Bleo Kestktutn


3/28

LDBK Yarokei Vlpnr >2= Harile, Rniks, led Plckon

Lbstrl`t

@rndkt `rnltkae ke tmn mauskei hlront mls bnne l ony saur`n ag systnhk` gkele`klc rkso, ledtmnrngarn ks lt tmn `netnr ag tmn dnbltn ae hl`raprudnetklc pack`kns. Tmn cale-ta-vlcun (CTW)rltka ks l wkdncy usnd hl`raprudnetklc taac lkhnd lt hadnrltkei hartilin cale `rnltkae, ledkts nggn`tkvnenss ennds ta bn nstkhltnd nhpkrk`lccy. Tmks plpnr ks uekqun ke tmlt kt lelcyznstmn nggn`t ag CTW ae hartilin cnedkei, tmn dkrn`t `mleenc ag kegcune`n, uskei l clrin slhpcnag bleos ke


4/28


@aetnets

0. Nhpkrk`lc Ptrltniy...................................................................................................... 7

0.


5/28



6/28


Tlbcn


7/28


ktnh ke bleos‛ blcle`n smnnts tmlt smaucd bn lelcyznd rltmnr tmle sahn hnlsurn agavnrlcc gkele`klc stlbkckty, ls ke hu`m ag tmn prnvkaus cktnrlturn. Atmnr studkns wktm lbleo-cnvnc lppral`m ke`cudn @clnssnes nt lc. (26


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`y`ck`lckty, led tmnkr nggn`tkvnenss ks snesktkvn ta tmn typn ag sma`o gl`kei tmn gkele`klcsn`tar. Ke l skhkclr study, @rawn nt lc. (26


9/28


Ke lddktkae, ta `mnò tmn rabustenss ag aur rnsucts, le lctnreltkvn gue`tkaelc garh ksàeskdnrnd wktm CTW ketnrl`tkae tnrhs wmnrn CTW lggn`ts eat aecy hartilin cales butlcsa tmn khpl`ts ag tmn atmnr dntnrhkelets ag tmn dnpnednet vlrklbcn. Gurtmnrharn, tmnlelcysks ks nxtnednd uskei tmn Bckednr-Alxl`l àuetnrgl`tulc dnàhpasktkae pra`ndurn,l harn àhprnmneskvn hntmadacaiy wmnrn absnrvltkaes lrn dkvkdnd ke twa iraups—`lsns wktm led wktmaut CTW pack`kns. Lcsa, tmn dnàhpasktkae tlons keta l`àuet tmnclrin euhbnr ag autcknrs hlokei usn ag tmn HH-nstkhltar led rabust hnles. Tmndkggnrne`n ke (rabust) hnles ag hartilin cale irawtm ks àhputnd led nxpclkend bytmrnn ̀ ahpaenets: nedawhnets, ̀ anggk`knets, led ketnrl`tkaes nggn`ts.

0.< Hadnc Ppn`kgk`ltkae

Ta lssnss tmn nggn`tkvnenss ag tmn CTW pack`y ls hl`raprudnetklc taac ae tmn hartilincale hlront, aur nhpkrk`lc strltniy àhplrns nàeahkns led ynlrs wmnrn tmn pack`ywls khpcnhnetnd wktm lctnreltkvn àuetry-ynlr àhbkeltkaes wmnrn tmn pack`y wls eatusnd. Rnskdnetklc hartilin cales (RHC) ag bleo k `le bn dns`rkbnd ls l gue`tkae ag

batm kedkvkdulc bleo àedktkaes led hl`ranàeahk` àuetry j -spn`kgk` vlrklbcns,ke`cudnd ke tmn vn`tars led , rnspn`tkvncy:

8 6 + ΐ + έ + + (


10/28


Tlbcn 0: Dltl Paur`nsWlrklbcn Paur`n Nxpn`tnd Pkie

Dnpnednet vlrklbcn

Rnskdnetklc hartilin cales Bleosàpn

Hlke vlrklbcn ag ketnrnst

Cale-ta-vlcun rltka pack`y Barka led Pmkh (2669) led `netrlc bleos ‐Bleo-spn`kgk` vlrklbcns

@ustahnrs‛ Dnpaskts Bleosàpn +

Eae-pnrgarhkei cales Bleosàpn +/−

Ketnrnst ta Eae-KetnrnstKeàhn rltka

Bleosàpn +

Ckqukd Lssnts Bleosàpn ‐

Nàeahy-spn`kgk` vlrklbcns

Eahkelc ketnrnst rltn KHG, DIBLP (gar Tlkpnk,@mkel) ‐

Rnlc ketnrnst rltn KHG, DIBLP (gar Tlkpnk,@mkel) ‐

Eahkelc staò prk`n kednx [lmaa Gkele`n ‐

@urrnet l`àuet blcle`n KHG, DIBLP (gar Tlkpnk,@mkel) +

Rnlc nx`mlein rltn KHG +

Rnlc IDV kednx Yarcd Bleo, DIBLP (gar Tlkpnk,@mkel) +Rnlc mausn prk`n kednx IVI, Eltkaelc Mauskei Bleo (Kedkl), Bleo

Kedaenskl, Bleo ag Tmlkcled ‐

@VK kegcltkae LDB ‐

@VK kegcltkae garn`lst LDB ‐

Rnlc IDV kednx garn`lst LDB (LDA), KHG (YNA) +

Hartilin kesurle`n pack`y Kedkvkdulc `netrlc bleos +

Eatns: LDB 8 Lskle Dnvncaphnet Bleo? LDA 8 Lskle Dnvncaphnet Autcaao? @VK 8 àesuhnr prk`n kednx?DIBLP 8 Dkrn`tarltn Inenrlc ag Budint, L`àuetkei led Ptltkstk`s? IVI 8 Icablc Vrapnrty Iukdn (lvlkclbcn

lt www.icablcprapnrtyiukdn.àh)? KHG 8 Ketnreltkaelc Haentlry Gued? YNA 8 Yarcd Nàeahk` Autcaao.

Paur`ns: Lskle Dnvncaphnet Bleo Ptltkstk`lc Dltlblsn Pystnh (PDBP) dltlblsn(mttp://www.ldb.ari/dltl/sdbs), l``nssnd


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Tlbcn 4: Puhhlry Ptltkstk`s TlbcnRabust Ptd.

Wlrklbcn Abs. Hnle Hnle Dnv. Ponwenss Ourtasks

Rnskdnetklc hartilin cales (cais) 9== ;.>72= ;.26 ‐6.>9;; 0.2;;2@ustahnrs Dnpaskts (cais) 9=6


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wls kektklccy abtlkend grah Barka led Pmkh (2669). Mawnvnr, ikvne tmlt tmn kegarhltkaeenndnd ta bn updltnd gar tmn cltnr ynlrs, wn suppcnhnetnd tmks wktm kegarhltkaepubcksmnd by kedkvkdulc `netrlc bleos. Gurtmnr kegarhltkae wls àccn`tnd grah atmnrhndkl rnparts led daùhnets.

Aen ag tmn hljar kssuns ta mledcn ks tmn nxkstne`n ag autcknrs. Tmks wls nspn`klccy trungar tmn bleo-spn`kgk` vlrklbcns led ke plrtkùclr tmn dnpnednet vlrklbcn, RHC. Tmnsuhhlry stltkstk`s ag tmn vlrklbcns ke tmn hadnc smaw l mkim dnirnn ag sonwenss ledourtasks (Tlbcn 4). Gurtmnrharn, tmn ilp bntwnne tmn hkekhuh led hlxkhuh vlcuns agsahn ag tmn vlrklbcns ks vnry mkim (gar nxlhpcn,


13/28


nstkhltar ag Raussnnuw led [amlk (6% but tmny hly mlvn caw nggk`kne`y (agtne cnss tmle 06%), sa tmnnstkhltns hly bn uebklsnd but mlvn le ke`rnlsnd vlrkle`n `ahplrnd ta nstkhltnsgrah cnlst squlrns. Tmnrngarn, tmn clrinr tmn prnsne`n ag autcknrs, tmn bnttnr tmnpnrgarhle`n ag tmn P-nstkhltar. Gkelccy, tmn HH-nstkhltar nhnrind, wmk`m `ahbkenstmn mkim brnlopaket ag tmn P-nstkhltars (>6%) led tmn mkim nggk`kne`y ag tmn H-nstkhltars. Kt ks blsnd ae tmn ktnrltkvn wnkimtnd cnlst squlrn lciarktmh ag tmn H-nstkhltar wmnrn tmn stlrtkei vlcun ks ikvne by tmn P-nstkhltar. Tmks nstkhltar wls gkrstketradu`nd by [amlk (


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0.4 Cale-ta-Wlcun Nggn`ts: Eaeckenlrktkns

Tmn skhpcn rncltkaesmkp ke (2) hly bn nxplednd ta `aeskdnr rk`mnr dkggnrne`ns bntwnnen`aeahkns wktm led wktmaut CTW. L elturlc nxpleskae ag aur lelcysks waucd lccaw gar

ketnrl`tkae tnrhs ag tmn atmnr vlrklbcns wktm CTW, luihnetkei nqultkae (2) ls:

8 6 +


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gkttnd snplrltncy gar tmn twa iraups, CTW nqulc ta znra led aen, ls ke (4) led (>). Yn

bnike by nxprnsskei tmn hnle dkggnrne`n ag ls tmn dkggnrne`n ke tmn ckenlr prndk`tkaeag tmn iraup-spn`kgk` hnles ag tmn rnirnssars ke :

8 (8<

) − (86

) 8 (8<

)′Ϋ8<

− (86

)′Ϋ86

(9)

Gaccawkei Dlyhaet led Ledrkslek (


16/28


znra wmkcn ourtasks ks nqulc ta tmrnn, rngnrne`n hliektudns gar tmn earhlc dkstrkbutkae,mlvn lcsa bnne ke`cudnd gar tmnsn twa stltkstk`s.

Tmn cailrktmhk` trlesgarhltkae hly hktkiltn tmn nggn`t ag tmn clrin euhbnr ag autcknrs ketmn rkimt skdn ag tmn dkstrkbutkae, ls wncc ls kts sonwenss, gar vlrklbcns su`m ls

hartilin cales, dnpaskts, led tmn staò prk`n kednx, but lcsa gar atmnr vlrklbcns ta bnàeskdnrnd cltnr (su`m ls irass dahnstk` pradu`t _IDVX) smaws tmn kektklc nstkhltns wmnrn ynlr duhhy vlrklbcns wnrn ke`cudnd ke lcc

`lsns ta àetrac gar ynlr nggn`ts (ànggk`knets eat rnpartnd). Tmn gkrst twa àcuhes smawtmn blsk` hadnc wktmaut tmn CTW vlrklbcn. @acuhes (0)‐(4) led (>)‐(7) ke`cudnnàeahy led bleo gkxnd nggn`ts, rnspn`tkvncy. @acuhes (9) led (=) nckhkeltn bleo gkxndnggn`ts by trlesgarhkei lcc vlrklbcns ta gkrst dkggnrne`ns. Rnsucts grah cnlst squlrns lrnikvne ke tmn add àcuhes wmkcn tmn nvne àcuhes prnsnet tmn rnsucts grah tmn HH-nstkhltar. Tmn lelcysks ag tmn sonwenss led ourtasks ag tmn rnskdulcs smaws tmnkhpravnhnets ke tmn rnskdulcs grah tmn HH-nstkhltar. Tmks ks nspn`klccy trun wmneketradu`kei tmn gkrst dkggnrne`n trlesgarhltkae ke (=) ske`n nktmnr sonwenss ar ourtaskstned ta bn clrinr wmne àeskdnrkei nàeahy (4) led bleo (7) gkxnd nggn`ts. Ke tmn `lsnag snvnrlc lctnreltkvn spn`kgk`ltkaes wktm bleo gkxnd nggn`ts ls ke (7), tmn ourtasks kslcwlys clrinr tmle wmne àeskdnrkei le lctnreltkvn spn`kgk`ltkae ke gkrst dkggnrne`ns lske (=).% grah bncaw) ag tmn absnrvltkaes. Ikvne tmn dnirnnag autcknr àetlhkeltkae, ley atmnr nstkhltar wktm l caw brnlodawe paket waucd

prablbcy pnrgarh bldcy.Blsnd ae aur gkrst-dkggnrne`n spn`kgk`ltkae, tmn clst twa àcuhes prnsnet tmn hastketnrnstkei rnsucts. Tmks ks tmn nstkhltkae ag nqultkae (2) wktm vlrklbcns ke gkrstdkggnrne`ns, tmn CTW vlrklbcn led tkhn gkxnd nggn`ts. Tmn CTW duhhy vlrklbcn ksstltkstk`lccy skiekgk`let led eniltkvncy àrrncltnd wktm hartilin cales. Aur rnsuctsàegkrh tmn mypatmnsks tmlt CTW `lps rndu`n tmn irawtm ag hartilin cales, wmk`m hlymlvn l pasktkvn khpl`t ae hl`ranàeahk` stlbkckty. Ke Tlbcn 4, tmn rabust hnle ag tmnrnskdnetklc hartilin cale irawtm rltn ks 9.=%. Tmn hliektudn ag tmn ànggk`knet keàcuhe (


17/28


scawnr ke n`aeahkns wktm le CTW `lp pack`y. Kt ks khpartlet ta hlon tmn `ahplrksaerncykei ae rabust nstkhltars led rabust hnles. Ymkcn tmn rnskdnetklc hartilin caleirawtm rltn rabust hnle ks 9.=%, tmn `clssk` hnle ks


18/28


Gkiurn %, sa tmn gkrst blr ta tmn cngt (6%‐6.6>%) ks eat tmn pnr`netlin ag absnrvltkaes wktmwnkimt znra grah Tlbcn < (but `casn).

Paur`n: Lutmars‛ nstkhltns.

Tmn dkstrkbutkae ag tmn wnkimts ke rnirnsskae (.Mawnvnr, tmn s`lttnrpcat ke Gkiurn 2 smaucd bn ketnrprntnd wktm sahn `lrn. Autcknrs lrnkdnetkgknd by tmnkr wnkimts, l hnlsurn tmlt rnckns ae lcc tmn dkhneskaes ag tmn dltl sntsled eat aecy ke tmn twa dkhneskaes pcattnd mnrn. Kt ks netkrncy passkbcn tmlt leabsnrvltkae ks `aeskdnrnd ls le autcknr (k.n., l caw wnkimt) lctmauim kt hly ckn `casn tatmn rnirnsskae cken ke Gkiurn 2 kg tmn autcknrenss ks dun ta sahn atmnr `mlrl`tnrkstk` agtmn dltl (n.i., l rlrn hliektudn ke nktmnr tmn ketnrnst rltn ar tmn sta`o prk`n kednx).

6

>

< 6

< >

2 6

2 >

0 6

0 >

4 6

6 6.2 6.4 6.7 6.= <

Cnvncs: ea GN

6

>

< 6

< >

2 6

2 >

0 6

0 >

4 6

6 6.2 6.4 6.7 6.= <

Cnvncs: @auetry GN

6

>

< 6

< >

2 6

2 >

0 6

0 >

4 6

6 6.2 6.4 6.7 6.= <

Cnvncs: Bleo GN

6

>

< 6

< >

2 6

2 >

0 6

0 >

4 6

6 6.2 6.4 6.7 6.= <

Gkrst Dkgg: ea GN


19/28


Gkiurn 2: Autcknrs led CTW

CTW 8 cale-ta-vlcun? GD 8 gkrst dkggnrne`n.

Eatns: Tmn mkstairlh ae tmn cngt smaws tmn dkstrkbutkae ag tmn wnkimts ag rnirnsskae ( (44<abs). Tmn nkimt hast nxtrnhn autcknrs wnrn nx`cudnd gah tmn s`lttnr pcat ta hlon tmn rnhlkekei absnrvltkaesnlsknr ta snn.

Paur`n: Lutmars‛ nstkhltns.

4.2 Lctnreltkvn Ppn`kgk`ltkaesTlbcns 7 led 9 nxpled tmn snt ag àetracs ta bn àeskdnrnd ta tnst wmntmnr tmn rnsuctsgar CTW lrn rabust ta lctnreltkvn spn`kgk`ltkaes. Tlbcn 7 àeskdnrs lddktkaelc vlrklbcnsgrah le apne nàeahy pnrspn`tkvn: ùrrnet l`àuet blcle`ns, nx`mlein rltns, ledketnrnst rltn dkggnrnetklcs. Pahn tmnarntk`lc gauedltkaes ta justkgy tmn ketradu`tkae agtmnsn vlrklbcns hly bn gaued ke tmn ueàvnrnd ketnrnst plrkty (^KV) tmnary led tmnketnirltkae ag shlcc nàeahkns keta tmn ketnreltkaelc `lpktlc hlronts led mne`n tmnkrckeos ta tmn dahnstk` mauskei hlront. Nx`mlein rltns led pnrskstnet ùrrnet l`àuetkhblcle`ns hly mlvn le khpl`t ae tmn gkele`klc sn`tar, ke`cudkei hartilin cales. Garnxlhpcn, @unstls led Ptlnmr (26

< 6

< >

2 6

2 >

0 6

0 >

4 6

6 6.2 6.4 6.7 6.= <

- <

6

<

2

-.> 6 .> < Dnpaskts (cais-GD)


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Tlbcn 7: Apne N`aeahy Ppn`kgk`ltkaes

(*** 6.>***

(6.696) (6.696) (6.676) (6.676) (6.69


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ùrrne`kns mls hldn kevnsthnet ke tmnkr mauskei hlronts harn lttrl`tkvn, neàurlikeitmn irawtm ag hartilin cales.

Tlbcn 9 ldds atmnr nàeahy-spn`kgk` vlrklbcns (IDV, mausn prk`ns, kegcltkae,nxpn`tltkaes lbaut IDV led kegcltkae, led prnsne`n ar lbsne`n ag hartilin kesurle`n

pack`y


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Tlbcn 9: Lddktkaelc @aetrac Wlrklbcns

(


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vlrklbcns. Ckqukd lssnts bnàhn eae-skiekgk`let, but twa ag tmn ketnrl`tkae tnrhs lrneaw skiekgk`let: tmn staò prk`n kednx led tmn nx`mlein rltn. Tmn dkrn`t nggn`t ag CTW(k.n., tmn ànggk`knet ag CTW) dans eat `mlein hu`m (grah ‐6.6>< ta ‐6.64=), but eaw ktks stltkstk`lccy skiekgk`let lt aecy ) (27) (29) (2=) (2;) (06)

@ustahnrs‛ dnpaskts 6.4;;*** 6.4;=*** 6.070** 6.=;9*** 6.=;0*** 6.277

(6.6=4) (6.6=0) (6.4) (6.672) (6.


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Rnirnsskae (2=) draps twa vlrklbcns tmlt wnrn eat skiekgk`let ke (2>), wmkcn rnirnsskaes(2;) led (06) àeskdnr CTW iraups < led 2 snplrltncy lilke. Ke rnirnsskae (2=), CTW ksskiekgk`let lt 7 led lcc tmn ketnrl`tkae tnrhs lrnskiekgk`let lt cnlst lt >%, nx`npt gar IDV. Tmn àhplrksae ag rnirnsskaes (2;) led (06)suiinsts CTW mls l `cnlr kegcune`n ae tmn khpartle`n ag tmn atmnr dntnrhkelets aghartilin cales. Ke nàeahkns wmnrn CTW pack`kns lrn khpasnd, mausn prk`ns (aurpraxy gar mausn hlront àedktkaes) bnàhn keskiekgk`let, ls wncc ls dnpaskts, wmk`m kstmn vlrklbcn ke aur slhpcn hast `casncy rncltnd ta tmn `rndkt `y`cn. Mawnvnr, tmnappasktn snnhs ta bn tmn `lsn rnilrdkei hl`ranàeahk` àedktkaes: batm IDV ledtmn nx`mlein rltn wnrn eat skiekgk`let wmne CTW86, but bnàhn skiekgk`let kg CTWpack`y ks ldaptnd. Mkimnr nàeahk` irawtm led nx`mlein rltn lpprn`kltkae snnh taneàurlin hartilin cales. Clstcy, tmn staò prk`n kednx `mleins skie wmne CTW8.2 pnr`netlin pakets bntwnne tmn twa iraups: hartilin cales iraw lt


25/28


Tlbcn ;: Tmn Bckednr-Alxl`l Dn`ahpasktkae ag tmn Nggn`t ag CTW

Iraup Hnles:

CTW86 (iraup


26/28


pnr`netlin paket dkggnrne`n ks eat aecy l stltkstk`lccy skiekgk`let nggn`t, but lcsa quktnclrin ke hliektudn. CTW mls lcsa sahn kedkrn`t nggn`ts tmrauim kts khpl`t aeànggk`knets ag tmn atmnr dntnrhkelets ag hartilin cales—bleo dnpaskts ke plrtkùclr.

Tmks study gaùsns ae tmn rncnvle`n ag CTW pack`y ke tmn hartilin hlront ikvne tmnclrin hliektudn ag cale irawtm absnrvnd ke tmn kedkvkdulc bleo dltl ke Lsklenàeahkns. Tmn hartilin hlront mls bnne nxpledkei rlpkdcy, nspn`klccy ke sahn agtmn àuetrkns ag tmn rnikae—tmn Vnapcn‛s Rnpubck` ag @mkel, Hlclyskl, led Tmlkcled—led twa-dkikt irawtm ke hartilin cales ks eat rlrn. Mlvkei l taac ta nggn`tkvncy rniucltntmnkr nxpleskae ks lt tmn àrn ag tmn àe`nres ag gkele`klc stlbkckty pack`yhlonrs ke tmnrnikae.

24


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RNGNRNE@NP*

BKP. 26


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Kile, D., led M. Olei. 26

Loan-to-Value Policy as a Macroprudential Tool: The Case of Residential Mortgage Loans in Asia

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