The housing market and credit channel of monetary policy

D 2016

The housing market and credit channel of monetary policy

REICHEL, Vlastimil a Miroslav HLOUŠEK

Základní údaje

Originální název

The housing market and credit channel of monetary policy

Autoři

REICHEL, Vlastimil a Miroslav HLOUŠEK

Vydání

Liberec, Proceedings of 34th International Conference Mathematical Methods in Economics, od s. 729-734, 6 s. 2016

Nakladatel

Technical University of Liberec

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

elektronická verze "online"

Odkazy

Conference proceedings

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14560/16:00090785

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-7494-296-9

UT WoS

000385239500125

Klíčová slova anglicky

Housing sector; VAR model; credit channel.

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 1. 8. 2022 13:30, Ing. Mgr. Vlastimil Reichel, Ph.D.

Anotace

V originále

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.

Návaznosti

MUNI/A/1049/2015, interní kód MU

Název: Makroekonomická analýza chování ekonomiky a hospodářské politiky pomocí kvantitativních metod

Investor: Masarykova univerzita, Makroekonomická analýza chování ekonomiky a hospodářské politiky pomocí kvantitativních metod, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

REICHEL, Vlastimil a Miroslav HLOUŠEK. The housing market and credit channel of monetary policy. Online. In Kocourek, A., Vavroušek, M. Proceedings of 34th International Conference Mathematical Methods in Economics. Liberec: Technical University of Liberec, 2016, s. 729-734. ISBN 978-80-7494-296-9.

@inproceedings{1353894,
   author = {Reichel, Vlastimil and Hloušek, Miroslav},
   address = {Liberec},
   booktitle = {Proceedings of 34th International Conference Mathematical Methods in Economics},
   editor = {Kocourek, A., Vavroušek, M.},
   keywords = {Housing sector; VAR model; credit channel.},
   howpublished = {elektronická verze "online"},
   language = {eng},
   location = {Liberec},
   isbn = {978-80-7494-296-9},
   pages = {729-734},
   publisher = {Technical University of Liberec},
   title = {The housing market and credit channel of monetary policy},
   url = {http://mme2016.tul.cz/conferenceproceedings/mme2016_conference_proceedings.pdf},
   year = {2016}
}

TY  - CONF
ID  - 1353894
AU  - Reichel, Vlastimil - Hloušek, Miroslav
PY  - 2016
TI  - The housing market and credit channel of monetary policy
PB  - Technical University of Liberec
CY  - Liberec
SN  - 9788074942969
KW  - Housing sector
KW  - VAR model
KW  - credit channel.
UR  - http://mme2016.tul.cz/conferenceproceedings/mme2016_conference_proceedings.pdf
L2  - http://mme2016.tul.cz/conferenceproceedings/mme2016_conference_proceedings.pdf
N2  - 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.
ER  -

REICHEL, Vlastimil a Miroslav HLOUŠEK. The housing market and credit channel of monetary policy. Online. In Kocourek, A., Vavroušek, M. \textit{Proceedings of 34th International Conference Mathematical Methods in Economics}. Liberec: Technical University of Liberec, 2016, s.~729-734. ISBN~978-80-7494-296-9.

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