DSGE model with collateral constraint: estimation on Czech data

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F12%3A00060894" target="_blank" >RIV/00216224:14560/12:00060894 - isvavai.cz</a>
Result on the web
<a href="http://www.econ.muni.cz/~hlousek/papers/collateral.pdf" target="_blank" >http://www.econ.muni.cz/~hlousek/papers/collateral.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
DSGE model with collateral constraint: estimation on Czech data
Original language description
Czech data shows positive comovement of house prices and consumption in reaction to house price shock. This behavior can be explained by collateral effect when houses serve as collateral for credit constrained households. This type of friction is presentin the Dynamic Stochastic General Equilibrium (DSGE) model from Iacoviello (2005) which is slightly modified and estimated on Czech data using Bayesian techniques. The estimated parameters are economically interpreted and ability of the model to match moments in data is assessed. Situation when houses are not collateralizable is examined. This exercise shows that the collateral effect is necessary feature of the model to deliver positive reaction of consumption to house price shock.
Czech name
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Czech description
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Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of 30th International Conference Mathematical Methods in Economics
ISBN
9788072487790
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
296-301
Publisher name
Silesian University, School of Business Administration
Place of publication
Karviná
Event location
Karviná
Event date
Sep 11, 2012
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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