科学研究

To safeguard economic and financial stability policymakers regularly take actions designed to in-crease resilience to systemic risks and curb speculative market behavior. To assess the effectiveness of such mitigation policies, we introduce a counterfactual approach tailored to accommodate the mildly explosive dynamics that occur during speculative bubbles. We derive asymptotics of the estimated treatment effect under a common factor structure that allows for explosive, I(1), and stationary factors, thereby having applicability to a wide range of prevailing economic conditions. An inferential procedure is proposed for the policy treatment effect that has asymptotic validity and demonstrates satisfactory finite sample performance. An empirical analysis of leaning-against-the-wind (LAW) monetary policy is conducted, focusing on the interest rate hikes implemented by the Reserve Bank of New Zealand that were initiated in October 202l. This policy exerted a statistically significant cooling effect on all regional housing markets in New Zealand. Our findings show that this policy led to a 20% to 30% reduction in house prices in five out of six regions seven months after the enactment of the LAW policy