Stylized Facts About The Mortgage Market In The Czech Republic: A Cross-Correlation Approach

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F17%3A00098238" target="_blank" >RIV/00216224:14560/17:00098238 - isvavai.cz</a>

Výsledek na webu

<a href="http://ibima.org/" target="_blank" >http://ibima.org/</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Stylized Facts About The Mortgage Market In The Czech Republic: A Cross-Correlation Approach

Popis výsledku v původním jazyce

This paper investigates a relationship between central bank interest rate (PRIBOR3M) and housing (mortgage) cycles in the Czech economy. The aim is to determine whether central bank’s interest rate is leading indicator for monitoring housing cycles. To assess the crucial role of interest rate in the set of mortgage interest rates is used methodology of leading indicator applied by OECD. Moreover, the crosscorrelation approach identifies the relationship between quarterly interest rate and the following individual variables: house price index, average mortgage interest rate, average fixed 1, 3 and 5 year mortgage interest rates, number of new mortgages, volume of new mortgages, average mortgage amount and mortgage installment. The data set covers a period between 2006:Q1 and 2016:Q3. The results of the paper will be used for later research and modelling of the housing sector in the Czech economy.

Název v anglickém jazyce

Stylized Facts About The Mortgage Market In The Czech Republic: A Cross-Correlation Approach

Popis výsledku anglicky

This paper investigates a relationship between central bank interest rate (PRIBOR3M) and housing (mortgage) cycles in the Czech economy. The aim is to determine whether central bank’s interest rate is leading indicator for monitoring housing cycles. To assess the crucial role of interest rate in the set of mortgage interest rates is used methodology of leading indicator applied by OECD. Moreover, the crosscorrelation approach identifies the relationship between quarterly interest rate and the following individual variables: house price index, average mortgage interest rate, average fixed 1, 3 and 5 year mortgage interest rates, number of new mortgages, volume of new mortgages, average mortgage amount and mortgage installment. The data set covers a period between 2006:Q1 and 2016:Q3. The results of the paper will be used for later research and modelling of the housing sector in the Czech economy.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50200 - Economics and Business

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 30th International Business Information Management Association Conference

ISBN

9780986041990

ISSN

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e-ISSN

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Počet stran výsledku

7

Strana od-do

4089-4095

Název nakladatele

International Business Information Management Association

Místo vydání

Madrid

Místo konání akce

Madrid

Datum konání akce

8. 11. 2017

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000443640503019