REICHEL, Vlastimil and 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, p. 729-734. ISBN 978-80-7494-296-9.
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Basic information
Original name The housing market and credit channel of monetary policy
Authors REICHEL, Vlastimil (203 Czech Republic, guarantor, belonging to the institution) and Miroslav HLOUŠEK (203 Czech Republic, belonging to the institution).
Edition Liberec, Proceedings of 34th International Conference Mathematical Methods in Economics, p. 729-734, 6 pp. 2016.
Publisher Technical University of Liberec
Other information
Original language English
Type of outcome Proceedings paper
Field of Study 50200 5.2 Economics and Business
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
Publication form electronic version available online
WWW Conference proceedings
RIV identification code RIV/00216224:14560/16:00090785
Organization unit Faculty of Economics and Administration
ISBN 978-80-7494-296-9
UT WoS 000385239500125
Keywords in English Housing sector; VAR model; credit channel.
Tags International impact, Reviewed
Changed by Changed by: Ing. Mgr. Vlastimil Reichel, Ph.D., učo 357467. Changed: 1/8/2022 13:30.
Abstract
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.
Links
MUNI/A/1049/2015, interní kód MUName: Makroekonomická analýza chování ekonomiky a hospodářské politiky pomocí kvantitativních metod
Investor: Masaryk University, Category A
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