2014年-IMF国际货币组织全球_Malaysia_Financial_Sector_Assessment_Program_Housing_Market_15页_534kb

Summary of the Malaysian Housing Market Technical Note (February 2013)

I. Introduction

This technical note provides an analysis of the recent evolution of the Malaysian housing market, focusing on price developments and their sustainability. It is prepared by the International Monetary Fund (IMF) as part of the Financial Sector Assessment Program (FSAP) for Malaysia. The note highlights the challenges in assessing the sustainability of house price levels due to the difficulty in predicting "bubbles" ex-ante. Malaysia has maintained a house price index for a long time, enabling long-term analysis, but the lack of timely micro-data on household income and assets complicates the assessment.

The note emphasizes two main aspects of the housing market:

• The rapid increase in house prices since 2010, which cannot be easily attributed to traditional factors.
• The potential risk to financial stability due to the sharp rise in house prices and high household indebtedness.

It also notes that the Malaysian authorities have introduced macro-prudential and fiscal measures to address these concerns.

II. Core Content and Key Findings

A. House Prices

• Price Growth Trends:

  • From 2001 to 2009, house price growth was relatively stable at around 3% annually.
  • In 2010, the growth rate increased significantly, reaching 12% by early 2011.
  • By early 2012, regional variations were pronounced, with house price growth ranging from 18% in Kuala Lumpur to -1.1% in Perlis.

• Factors Influencing Price Growth:

  • The analysis constructs a "predictor" for house price growth using historical data and econometric methods.
  • The predictor includes:
    • CPIRP (CPI component measuring rents, power, and utilities prices)
    • RGDP (Real GDP) and SENT (Consumer Sentiment Index) as proxies for income and future expectations
    • BLR (Base Lending Rate)

• Results:

  • The predictor explains 71% of the in-sample variation in house price growth.
  • A structural break in the relationship between house price growth and the predictor occurred in 2010, suggesting a shift in dynamics.
  • The inclusion of lagged house price growth or future expectations significantly improves the model's explanatory power.
  • The analysis also suggests that the supply of housing is not a significant factor in explaining house price growth, possibly due to endogeneity concerns.

• Conclusion:

  • The rapid house price growth since 2010 may not be driven by traditional fundamentals, raising concerns about financial stability.
  • Further investigation is needed to identify the "missing variables" that could explain the price increase.

B. Residential Lending

• Lending Trends:

  • Residential loan growth remained moderate after 2010, averaging around 10%.
  • There is no evidence of a structural break in the relationship between residential loan growth and the predictor.

• Predictor Construction:

  • The predictor for residential loan growth includes:
    • RES(-1): Lagged value of residential loan growth
    • IP (Industrial Production Index) as a proxy for economic activity
    • WCL (Working Capital Loans) as a proxy for credit conditions
    • OPR (Overnight Policy Rate) as a proxy for the cost of credit

• Results:

  • The predictor explains 74% of the in-sample variation in residential loan growth.
  • The model shows strong cointegration and no significant autocorrelation in residuals.
  • Adding additional regressors (lagged WCL and "other loans") improves the fit but does not change the overall conclusion that the baseline model is preferred.

• Conclusion:

  • The growth in residential loans has not shown a structural shift since 2010, indicating that credit policies may not have been the primary driver of the increase in house prices.
  • Macroeconomic conditions and expectations still play a significant role in determining residential lending trends.

III. Policy Implications and Recommendations

• House Price Concerns:

  • The high household debt-to-GDP ratio (74% at the end of 2011) and rapid price growth pose risks to financial stability.
  • A sharp price decline could negatively impact mortgage and other lending contracts, especially in a recessionary environment with rising unemployment.

• Macro-prudential Measures:

  • The Malaysian central bank (BNM) introduced a 70% LTV (Loan-to-Value) limit for third and subsequent home mortgages in 2010.
  • Banks' capital risk weights were raised to 100% for mortgages with LTVs over 90% starting in 2011.
  • A 60% LTV limit was set for non-individual borrowers in 2011.

• Fiscal Measures:

  • The Real Property Gains Tax (RPGT) was reintroduced in 2010 at 5%, later increased to 10-15% for disposals within five years.
  • The minimum unit price for foreign buyers was raised to RM 500,000 in 2010.

• Recommendations:

  • Further data collection on household income, assets, and liabilities is necessary to understand micro-level variations.
  • The role of regional dynamics, liquidity, and moral hazard in house price growth should be explored.
  • Alternative econometric models and techniques such as VAR or simultaneous equations may help in identifying the structural break and its causes.

IV. Key Information and Main Points

• House price growth increased sharply in 2010, exceeding historical patterns.
• Residential lending has not shown a structural break since 2010, suggesting that credit expansion may not be the main driver of house price increases.
• Macro-prudential and fiscal policies have been introduced to mitigate risks, but their effectiveness is still under scrutiny.
• Lack of micro-data on household income and assets complicates the assessment of market fundamentals.
• Regional variation in house prices is significant and may be driven by land scarcity, infrastructure, and employment opportunities.
• Liquidity and moral hazard are considered important factors in determining house prices, and their role should not be overlooked.
• Modeling challenges include the risk of overfitting with additional regressors, and the need for robustness checks.

V. Conclusion

The note concludes that the rapid increase in house prices since 2010 is not well explained by traditional fundamentals, indicating a potential risk to financial stability. While macro-prudential and fiscal measures have been introduced, further analysis is required to fully understand the underlying causes of the structural break in house price dynamics. The analysis also highlights the importance of considering regional and microeconomic factors, as well as the role of credit policies and market liquidity, in shaping the housing market.