Asymmetric behaviour of collateral constraint:	applications on
the Czech economy

D 2015

Asymmetric behaviour of collateral constraint: applications on the Czech economy

REICHEL, Vlastimil a Miroslav HLOUŠEK

Základní údaje

Originální název

Asymmetric behaviour of collateral constraint: applications on the Czech economy

Autoři

REICHEL, Vlastimil (203 Česká republika, garant, domácí) a Miroslav HLOUŠEK (203 Česká republika, domácí)

Vydání

Plzeň, Proceedings of 33nd International Conference Mathematical Methods in Economics, od s. 707-712, 6 s. 2015

Nakladatel

University of West Bohemia

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

paměťový nosič (CD, DVD, flash disk)

Odkazy

Conference proceedings

Kód RIV

RIV/00216224:14560/15:00083835

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-261-0539-8

UT WoS

000387898900121

Klíčová slova anglicky

occasionally binding constraint; asymmetric behaviour; DSGE model; housing sector

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 1. 8. 2022 13:29, Ing. Mgr. Vlastimil Reichel, Ph.D.

Anotace

V originále

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 prices and 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 increases housing 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.

Návaznosti

MUNI/A/1121/2014, interní kód MU

Název: Analýza chování ekonomiky během hospodářského cyklu pomocí dynamických makroekonomických modelů

Investor: Masarykova univerzita, Analýza chování ekonomiky během hospodářského cyklu pomocí dynamických makroekonomických modelů, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

REICHEL, Vlastimil a Miroslav HLOUŠEK. Asymmetric behaviour of collateral constraint: applications on the Czech economy. In Martinčík, D., Ircingová, J., Janeček P.,. Proceedings of 33nd International Conference Mathematical Methods in Economics. Plzeň: University of West Bohemia, 2015, s. 707-712. ISBN 978-80-261-0539-8.

@inproceedings{1311136,
   author = {Reichel, Vlastimil and Hloušek, Miroslav},
   address = {Plzeň},
   booktitle = {Proceedings of 33nd International Conference Mathematical Methods in Economics},
   editor = {Martinčík, D., Ircingová, J., Janeček P.,},
   keywords = {occasionally binding constraint; asymmetric behaviour; DSGE model; housing sector},
   howpublished = {paměťový nosič},
   language = {eng},
   location = {Plzeň},
   isbn = {978-80-261-0539-8},
   pages = {707-712},
   publisher = {University of West Bohemia},
   title = {Asymmetric behaviour of collateral constraint: applications on the Czech economy},
   url = {http://mme2015.zcu.cz/downloads/MME_2015_proceedings.pdf},
   year = {2015}
}

TY  - JOUR
ID  - 1311136
AU  - Reichel, Vlastimil - Hloušek, Miroslav
PY  - 2015
TI  - Asymmetric behaviour of collateral constraint: applications on the Czech economy
PB  - University of West Bohemia
CY  - Plzeň
SN  - 9788026105398
KW  - occasionally binding constraint
KW  - asymmetric behaviour
KW  - DSGE model
KW  - housing sector
UR  - http://mme2015.zcu.cz/downloads/MME_2015_proceedings.pdf
L2  - http://mme2015.zcu.cz/downloads/MME_2015_proceedings.pdf
N2  - 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 prices and 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 increases housing 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.
ER  -

REICHEL, Vlastimil a Miroslav HLOUŠEK. Asymmetric behaviour of collateral constraint: applications on the Czech economy. In Martinčík, D., Ircingová, J., Janeček P.,. \textit{Proceedings of 33nd International Conference Mathematical Methods in Economics}. Plzeň: University of West Bohemia, 2015, s.~707-712. ISBN~978-80-261-0539-8.

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