Summary:
In recent years, China's housing market has undergone profound changes in its supply-demand structure, with weakening demand and rising downside risks becoming increasingly prominent. In this context, real estate-related macroprudential policies (MPR) have emerged as a key policy instrument for stabilizing housing markets and containing systemic financial risk. While existing studies show that tightening standard tools, such as loan-to-value limits, can effectively restrain mortgage loan growth and house price appreciation during upswings, the policy environment facing MPR has fundamentally changed. Downside risks and balance-sheet pressures have become more prominent, shifting policy objectives from curbing excessive growth to stabilizing prices and preventing risk contagion. At the same time, public house-price expectations have reversed and become strongly procyclical, raising concerns that expectation-driven behavior may weaken policy transmission. Against this background, this paper focuses on two related questions. First, does the effectiveness of real estate-related macroprudential policy differ between housing upswings and downturns, and to what extent do public house-price expectations shape its policy impact? Second, can policy coordination, especially through policy communication and monetary policy alignment, mitigate expectation-driven frictions and enhance the effectiveness of macroprudential regulation? To address these questions, we adopt a combined theoretical and empirical approach. On the theoretical side, we develop a dynamic stochastic general equilibrium (DSGE) model that explicitly incorporates public house-price expectations and policy communication into the transmission mechanism of MPR, thereby capturing how expectation dynamics interact with credit constraints and policy interventions. On the empirical side, we use monthly data from 2010 to 2023 and estimate dynamic policy effects using the local projection method. To this end, public house-price expectations are derived from the People's Bank of China's Urban Depositor Survey, and indicators of real estate policy communication intensity and policy stance are constructed based on official communications issued by the People's Bank of China and other regulatory authorities, combining a keyword-assisted topic model with large language models. Our empirical results yield three main findings. First, MPR exert a statistically significant countercyclical effect on the house price gap, but this effect is substantially weakened when public house-price expectations become strongly procyclical. Second, policy communication plays an important but asymmetric role in macroprudential transmission. Higher communication intensity helps reduce expectation dispersion, while consistency between communicated policy stance and actual policy actions is a key condition for maintaining policy credibility and effectiveness. Third, monetary policy coordination displays clear instrument-specific patterns, with quantitative tightening reinforcing contractionary macroprudential policy during housing upswings and accommodative price-based policy more effective in supporting stabilization during downturns. These findings carry important policy implications. Effective stabilization of the housing market requires a shift from a framework that relies primarily on instrument adjustment toward one that places greater emphasis on expectation management and policy coordination. First, macroprudential authorities should develop policy response mechanisms tailored to periods of weakening expectations by strengthening expectation monitoring using survey data and high-frequency indicators, and incorporating expectation measures into policy decision-making, thereby improving policy timing and preventing self-reinforcing downturn dynamics. Second, policy communication in the real estate sector should be institutionalized, with greater emphasis on clarity, consistency, and coherence between policy messages and policy actions, rather than solely increasing communication frequency. Finally, coordination between monetary policy and MPR should be state-contingent and account for the distinct roles of different instruments: quantity-based tools should play a larger role during upswings, while price-based tools are better suited to supporting stabilization and anchoring expectations during downturns. This study contributes to the literature in three respects. First, it systematically integrates public house-price expectations into the analysis of MPR, highlighting expectations as a key constraint on policy effectiveness. Second, by focusing on the house price gap, it reassesses macroprudential performance from a risk-oriented perspective that accounts for both upside and downside dynamics. Third, it constructs novel indicators of real estate policy communication, providing new empirical tools for studying policy communication, expectation management, and macroeconomic policy coordination. Future research may explore heterogeneity in expectation formation across households and cities and examine interactions between macroprudential, monetary, and fiscal housing policies.
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