Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
This paper proposes a Qual VAR, i.e. a VAR augmented by qualitative variables, to estimate the effects of lowering maximum loan-to-value (LTV) ratios, a key macroprudential policy tool. We use Korea as a case study, where LTV ratios have been used frequently as a policy instrument. The Qual VAR has several advantages over competing methods. We conclude that a macroprudential tightening is effective in dampening credit growth and reducing the appreciation of house prices.