Household Debt and Its Implications for Monetary Policy Channels: Risk or Another Credit Growth Opportunity

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F22%3A10250761" target="_blank" >RIV/61989100:27510/22:10250761 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.slu.cz/opf/cz/file/cul/9299fa9b-bdca-4e74-a5e7-956077b9df49" target="_blank" >https://www.slu.cz/opf/cz/file/cul/9299fa9b-bdca-4e74-a5e7-956077b9df49</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Household Debt and Its Implications for Monetary Policy Channels: Risk or Another Credit Growth Opportunity

Popis výsledku v původním jazyce

The macroeconomic environment in the Czech Republic is characterized by a low level of household debt,which has been growing strongly over the past decade. Household debt can alter the functioning of monetarypolicy channels and it is essential to study these effects. I construct a Bayesian SRVAR model and then interpretit using response function analysis for the period from 2000 to 2021 and examine the impact of monetary policyshock on economic environment in the Czech Republic at low and high debt levels. After a monetaryrestriction, there is a decline in output, price level, and household debt. Relatively lower and relatively highhousehold indebtedness does not significantly shift the channel of monetary policy transmission. Resultssuggest dampening effects of the lender effect on the cash flow channel. Evaluating the high-debt and low-debtmodels, I find that when households are relatively more indebted, debt-to-GDP does not respond to themonetary restriction, and the decline in debt does not occur as in the case of relatively low debt. Conventionalmonetary policy and interest rate normalization contribute positively to financial stability. Borrowing ofhousehold sector cools down after monetary restriction shock.

Název v anglickém jazyce

Household Debt and Its Implications for Monetary Policy Channels: Risk or Another Credit Growth Opportunity

Popis výsledku anglicky

The macroeconomic environment in the Czech Republic is characterized by a low level of household debt,which has been growing strongly over the past decade. Household debt can alter the functioning of monetarypolicy channels and it is essential to study these effects. I construct a Bayesian SRVAR model and then interpretit using response function analysis for the period from 2000 to 2021 and examine the impact of monetary policyshock on economic environment in the Czech Republic at low and high debt levels. After a monetaryrestriction, there is a decline in output, price level, and household debt. Relatively lower and relatively highhousehold indebtedness does not significantly shift the channel of monetary policy transmission. Resultssuggest dampening effects of the lender effect on the cash flow channel. Evaluating the high-debt and low-debtmodels, I find that when households are relatively more indebted, debt-to-GDP does not respond to themonetary restriction, and the decline in debt does not occur as in the case of relatively low debt. Conventionalmonetary policy and interest rate normalization contribute positively to financial stability. Borrowing ofhousehold sector cools down after monetary restriction shock.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2022

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of International Scientific Conference Economic and Societal Challenges of the European Economy : 13.-15.9.2022, Petrovice u Karviné

ISBN

978-80-7510-527-1

ISSN

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e-ISSN

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Počet stran výsledku

12

Strana od-do

77-90

Název nakladatele

Slezská univerzita v Opavě

Místo vydání

Opava

Místo konání akce

Petrovice u Karviné

Datum konání akce

13. 9. 2022

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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