| Abstract [eng] |
SUMMARY 67 pages, 3 tables, 30 pictures, 117 references. The main objective of this master’s thesis is to assess the impact of macroprudential requirements on the dynamics of residential real estate (housing) prices in Lithuania and to identify the channels through which these measures contribute to financial stability. The thesis consists of three main parts: a literature review, research methodology and empirical results, and conclusions with recommendations. The literature review provides a systematic overview of the evolution of macroprudential policy, the key instruments applied, and their interaction with monetary and fiscal policy frameworks. It examines real estate market theories, price formation mechanisms, demand- and supply-side determinants, as well as the link between the credit cycle and the housing market. Furthermore, international research on the effectiveness of macroprudential measures is reviewed alongside the development of Lithuania’s macroprudential framework and its relationship with local housing market dynamics. Based on the literature review, the author identifies the main drivers of housing price formation and the transmission channels of macroprudential policy. The empirical analysis employs a VAR model estimated using data from the Bank of Lithuania, Statistics Lithuania for the period 2005–2024. Stationarity and stability diagnostics, impulse response functions (IRF), forecast error variance decomposition (FEVD) and projection scenarios are applied. The inclusion of exogenous macroprudential variables and structural breaks enables an assessment of the indirect effects of macroprudential measures through credit, financing conditions and supply channels. These methods allow identification of both short-term responses to macroeconomic shocks and delayed reactions stemming from credit and supply dynamics. The empirical findings reveal that macroprudential measures do not exert a direct effect on housing prices; however, their influence is clearly transmitted indirectly through changes in credit volumes, risk pricing and housing development expectations. While macroeconomic shocks affect housing prices in the short term, the strongest delayed effects originate from the credit cycle and building permit activity. Projection scenarios indicate that the 2026 amendments to responsible lending regulations may induce only a temporary acceleration in price growth, with the long-run trajectory converging back to fundamental economic trends. The conclusions and recommendations summarise insights from both the literature review and empirical analysis, highlighting the role of macroprudential instruments in shaping housing price dynamics and the channels through which they support financial stability. The author notes that the results may be valuable for policymakers and financial institutions seeking to understand how credit, financing and supply mechanisms transmit macroprudential requirements to the housing market, which factors help smooth market fluctuations, and which regulatory decisions can mitigate the accumulation of imbalances. The insights of this study may contribute to more informed macroprudential policy decisions, fostering a more sustainable evolution of housing prices and enhancing financial stability. |
