The housing market and credit channel of monetary policy

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F16%3A00090785" target="_blank" >RIV/00216224:14560/16:00090785 - isvavai.cz</a>

Výsledek na webu

<a href="http://mme2016.tul.cz/conferenceproceedings/mme2016_conference_proceedings.pdf" target="_blank" >http://mme2016.tul.cz/conferenceproceedings/mme2016_conference_proceedings.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

The housing market and credit channel of monetary policy

Popis výsledku v původním jazyce

This paper is focused on a credit channel of monetary policy in the housing market. We test the relevance of the credit channel in the Czech housing sector in period 2006:Q1 - 2015:Q4. We use two types of structural VAR models to identify monetary policy shocks and to investigate if they have impacts on behaviour of the real variables. These VAR models are estimated using seven variables: real GDP, consumer price inflation, real house prices, volumes of mortgages, and total loans to households, mortgage interest rate and money market interest rate. Point estimates of impulse responses show that monetary policy shock has a (i) negative effect on the real GDP and mortgages of households; (ii) temporary positive effect on the real house price and (iii) positive effect on the spread between the mortgage rate and the money market interest rate. These results indicate that the monetary policy is able to significantly affect the housing market in the Czech economy.

Název v anglickém jazyce

The housing market and credit channel of monetary policy

Popis výsledku anglicky

This paper is focused on a credit channel of monetary policy in the housing market. We test the relevance of the credit channel in the Czech housing sector in period 2006:Q1 - 2015:Q4. We use two types of structural VAR models to identify monetary policy shocks and to investigate if they have impacts on behaviour of the real variables. These VAR models are estimated using seven variables: real GDP, consumer price inflation, real house prices, volumes of mortgages, and total loans to households, mortgage interest rate and money market interest rate. Point estimates of impulse responses show that monetary policy shock has a (i) negative effect on the real GDP and mortgages of households; (ii) temporary positive effect on the real house price and (iii) positive effect on the spread between the mortgage rate and the money market interest rate. These results indicate that the monetary policy is able to significantly affect the housing market in the Czech economy.

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

2016

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of 34th International Conference Mathematical Methods in Economics

ISBN

9788074942969

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

729-734

Název nakladatele

Technical University of Liberec

Místo vydání

Liberec

Místo konání akce

Liberec

Datum konání akce

1. 1. 2016

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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