THE IMPACT OF MONETARY POLICY ON REAL ESTATE MARKET DURING COVID-19 CRISIS USING A DSGE MODEL OF SMALL OPEN ECONOMY

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

THE IMPACT OF MONETARY POLICY ON REAL ESTATE MARKET DURING COVID-19 CRISIS USING A DSGE MODEL OF SMALL OPEN ECONOMY

Popis výsledku v původním jazyce

Using a new Keynesian small open economy dynamic stochastic general equilibrium model (NK SOE DSGE) with the housing sector, this paper evaluates the impact of housing collateral and changes in openness of economy on the business cycle in the Czech economy. We devote special attention to the setting of the loan to value (LTV) ratio, which we believe plays an important role as a regulator of the monetary transmission mechanism. Moreover, we try to simulate the effects of a reduction in the openness of the economy in the context of an incoming pandemic crisis. The impacts alternative LTV level and openness level setting are quantified by simulating the responses of monetary shock on key macroeconomic variables. Our simulations are based on an estimated DSGE model. Our approach allows a better understanding of the response of the real economy to monetary tightening mitigated by different levels of LTV, and allows a comparison of how these effects change in an environment of altered economic openness. Our results show that higher loan to value ratios strengthen the effect of the monetary transmission mechanism to consumption and output. In contrast, changes in the openness of the economy showed no significant changes in the dynamics of monetary transmission to real variables.

Název v anglickém jazyce

THE IMPACT OF MONETARY POLICY ON REAL ESTATE MARKET DURING COVID-19 CRISIS USING A DSGE MODEL OF SMALL OPEN ECONOMY

Popis výsledku anglicky

Using a new Keynesian small open economy dynamic stochastic general equilibrium model (NK SOE DSGE) with the housing sector, this paper evaluates the impact of housing collateral and changes in openness of economy on the business cycle in the Czech economy. We devote special attention to the setting of the loan to value (LTV) ratio, which we believe plays an important role as a regulator of the monetary transmission mechanism. Moreover, we try to simulate the effects of a reduction in the openness of the economy in the context of an incoming pandemic crisis. The impacts alternative LTV level and openness level setting are quantified by simulating the responses of monetary shock on key macroeconomic variables. Our simulations are based on an estimated DSGE model. Our approach allows a better understanding of the response of the real economy to monetary tightening mitigated by different levels of LTV, and allows a comparison of how these effects change in an environment of altered economic openness. Our results show that higher loan to value ratios strengthen the effect of the monetary transmission mechanism to consumption and output. In contrast, changes in the openness of the economy showed no significant changes in the dynamics of monetary transmission to real variables.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50201 - Economic Theory

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2021

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the International Scientific Conference ECONOMIC AND SOCIAL POLICY

ISBN

9788087291290

ISSN

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e-ISSN

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Počet stran výsledku

13

Strana od-do

439-451

Název nakladatele

Vysoká škola PRIGO

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

1. 1. 2021

Typ akce podle státní příslušnosti

CST - Celostátní akce

Kód UT WoS článku

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