DSGE model with housing sector: application to the Czech economy

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F13%3A00069293" target="_blank" >RIV/00216224:14560/13:00069293 - isvavai.cz</a>

Výsledek na webu

<a href="http://www.econ.muni.cz/~hlousek/papers/housing.pdf" target="_blank" >http://www.econ.muni.cz/~hlousek/papers/housing.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

DSGE model with housing sector: application to the Czech economy

Popis výsledku v původním jazyce

This paper deals with multi-sector DSGE model that is estimated on Czech economy data. The model is taken from Iacoviello and Neri (2010). There are two production sectors: consumption/investment goods sector and housing sector. These sectors contain various types of nominal and real rigidities and also different technological trends. On the demand side, there is financial friction in the form of collateral constraint which affects borrowing capacity and consumer spending. The model is estimated using Bayesian techniques. The parameters are economically interpreted, the model moments are compared to moments from data and dynamical properties of the model are studied using impulse responses and variance and shock decompositions. Results show that monetary policy has more pronounced effect on consumption and output when houses are better collateralizable.

Název v anglickém jazyce

DSGE model with housing sector: application to the Czech economy

Popis výsledku anglicky

This paper deals with multi-sector DSGE model that is estimated on Czech economy data. The model is taken from Iacoviello and Neri (2010). There are two production sectors: consumption/investment goods sector and housing sector. These sectors contain various types of nominal and real rigidities and also different technological trends. On the demand side, there is financial friction in the form of collateral constraint which affects borrowing capacity and consumer spending. The model is estimated using Bayesian techniques. The parameters are economically interpreted, the model moments are compared to moments from data and dynamical properties of the model are studied using impulse responses and variance and shock decompositions. Results show that monetary policy has more pronounced effect on consumption and output when houses are better collateralizable.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2013

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Proceedings of 31th International Conference Mathematical Methods in Economics

ISBN

9788087035764

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

261-266

Název nakladatele

College of Polytechnics Jihlava

Místo vydání

Jihlava

Místo konání akce

Jihlava

Datum konání akce

11. 9. 2013

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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