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Curb your enthusiasm: the aggregate short-run effects of a borrower-based measure
We estimate the ex-post short-run (6 months) impact of the Portuguese macroprudential borrower-based measure on new loans for house purchase and consumption, on house prices and on the economic activity. The macroprudential measure introduced a set of recommendations on the criteria used by banks in borrowers’ creditworthiness assessment: i) limits to LTV and DSTI ratios and to maturity and ii) the requirement of regular payments of interest and principal. In an ideal scenario, the impact of this set of restrictions would be measured by comparing the path of the variables after the introduction of the measure to their path in a no-policy change scenario, usually called the counterfactual. However, the no-policy change scenario is not observable and, therefore, needs to be estimated under some assumptions. We use a Bayesian VAR model to estimate the counterfactual of the variables of interest in the 6 months after the introduction of the policy. Our analysis suggests that the measure contributed to curb the growth of new loans granted to households, both for house purchase and consumption, 4 months after its implementation. We do not find evidence that the macroprudential measure had a significant impact on house prices or on economic activity, in the 6 months following its introduction.