Asymmetric behaviour of collateral constraint: applications on the Czech economy

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F15%3A00083835" target="_blank" >RIV/00216224:14560/15:00083835 - isvavai.cz</a>

Výsledek na webu

<a href="http://mme2015.zcu.cz/downloads/MME_2015_proceedings.pdf" target="_blank" >http://mme2015.zcu.cz/downloads/MME_2015_proceedings.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Asymmetric behaviour of collateral constraint: applications on the Czech economy

Popis výsledku v původním jazyce

This paper analyses influence of asymmetric behaviour of collateral constraint through the lens of the DSGE model with occasionally binding constraint on housing wealth. The Czech economy data show positive but asymmetric behaviour between housing pricesand consumption. It can be explained by following mechanism. When the prices of houses fall, the housing wealth decreases, which decreases consumption substantially as constraint on borrowing is binding. On the other hand, rise in house prices increaseshousing wealth, the constraint becomes slack and consumption increases only slightly. Such mechanism is incorporated into DSGE model that is estimated on data of the Czech economy using Bayesian techniques. The results from model simulation show that the occasionally binding constraint is able to replicate asymmetric behaviour of house prices and consumption found in the data.

Název v anglickém jazyce

Asymmetric behaviour of collateral constraint: applications on the Czech economy

Popis výsledku anglicky

This paper analyses influence of asymmetric behaviour of collateral constraint through the lens of the DSGE model with occasionally binding constraint on housing wealth. The Czech economy data show positive but asymmetric behaviour between housing pricesand consumption. It can be explained by following mechanism. When the prices of houses fall, the housing wealth decreases, which decreases consumption substantially as constraint on borrowing is binding. On the other hand, rise in house prices increaseshousing wealth, the constraint becomes slack and consumption increases only slightly. Such mechanism is incorporated into DSGE model that is estimated on data of the Czech economy using Bayesian techniques. The results from model simulation show that the occasionally binding constraint is able to replicate asymmetric behaviour of house prices and consumption found in the data.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of 33nd International Conference Mathematical Methods in Economics

ISBN

9788026105398

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

707-712

Název nakladatele

University of West Bohemia

Místo vydání

Plzeň

Místo konání akce

Cheb

Datum konání akce

1. 1. 2015

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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