Stylized Facts About The Mortgage Market In The Czech Republic:
A Cross-Correlation Approach

D 2017

Stylized Facts About The Mortgage Market In The Czech Republic: A Cross-Correlation Approach

REICHEL, Vlastimil a Jana GAJDOŠOVÁ

Základní údaje

Originální název

Stylized Facts About The Mortgage Market In The Czech Republic: A Cross-Correlation Approach

Autoři

REICHEL, Vlastimil a Jana GAJDOŠOVÁ

Vydání

Madrid, Proceedings of the 30th International Business Information Management Association Conference, od s. 4089-4095, 7 s. 2017

Nakladatel

International Business Information Management Association

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Spojené státy

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

paměťový nosič (CD, DVD, flash disk)

Odkazy

URL

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14560/17:00098238

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-0-9860419-9-0

UT WoS

000443640503019

Klíčová slova anglicky

house prices; business cycles; cross correlation approach

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 25. 1. 2019 12:59, Ing. Mgr. Vlastimil Reichel, Ph.D.

Anotace

V originále

This paper investigates a relationship between central bank interest rate (PRIBOR3M) and housing (mortgage) cycles in the Czech economy. The aim is to determine whether central bank’s interest rate is leading indicator for monitoring housing cycles. To assess the crucial role of interest rate in the set of mortgage interest rates is used methodology of leading indicator applied by OECD. Moreover, the crosscorrelation approach identifies the relationship between quarterly interest rate and the following individual variables: house price index, average mortgage interest rate, average fixed 1, 3 and 5 year mortgage interest rates, number of new mortgages, volume of new mortgages, average mortgage amount and mortgage installment. The data set covers a period between 2006:Q1 and 2016:Q3. The results of the paper will be used for later research and modelling of the housing sector in the Czech economy.

Návaznosti

MUNI/A/0943/2016, interní kód MU

Název: Kvantitativní analýza chování ekonomiky a hospodářské politiky

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

Citovat

REICHEL, Vlastimil a Jana GAJDOŠOVÁ. Stylized Facts About The Mortgage Market In The Czech Republic: A Cross-Correlation Approach. In Khalid S. Soliman. Proceedings of the 30th International Business Information Management Association Conference. Madrid: International Business Information Management Association, 2017, s. 4089-4095. ISBN 978-0-9860419-9-0.

@inproceedings{1395126,
   author = {Reichel, Vlastimil and Gajdošová, Jana},
   address = {Madrid},
   booktitle = {Proceedings of the 30th International Business Information Management Association Conference},
   editor = {Khalid S. Soliman},
   keywords = {house prices; business cycles; cross correlation approach},
   howpublished = {paměťový nosič},
   language = {eng},
   location = {Madrid},
   isbn = {978-0-9860419-9-0},
   pages = {4089-4095},
   publisher = {International Business Information Management Association},
   title = {Stylized Facts About The Mortgage Market In The Czech Republic: A Cross-Correlation Approach},
   url = {http://ibima.org/},
   year = {2017}
}

TY  - CONF
ID  - 1395126
AU  - Reichel, Vlastimil - Gajdošová, Jana
PY  - 2017
TI  - Stylized Facts About The Mortgage Market In The Czech Republic: A Cross-Correlation Approach
PB  - International Business Information Management Association
CY  - Madrid
SN  - 9780986041990
KW  - house prices
KW  - business cycles
KW  - cross correlation approach
UR  - http://ibima.org/
L2  - http://ibima.org/
N2  - This paper investigates a relationship between central bank interest rate (PRIBOR3M) and housing (mortgage) cycles in the Czech economy. The aim is to determine whether central bank’s interest rate is leading indicator for monitoring housing cycles. To assess the crucial role of interest rate in the set of mortgage interest rates is used methodology of leading indicator applied by OECD. Moreover, the crosscorrelation approach identifies the relationship between quarterly interest rate and the following individual variables: house price index, average mortgage interest rate, average fixed 1, 3 and 5 year mortgage interest rates, number of new mortgages, volume of new mortgages, average mortgage amount and mortgage installment. The data set covers a period between 2006:Q1 and 2016:Q3. The results of the paper will be used for later research and modelling of the housing sector in the Czech economy.
ER  -

REICHEL, Vlastimil a Jana GAJDOŠOVÁ. Stylized Facts About The Mortgage Market In The Czech Republic: A Cross-Correlation Approach. In Khalid S. Soliman. \textit{Proceedings of the 30th International Business Information Management Association Conference}. Madrid: International Business Information Management Association, 2017, s.~4089-4095. ISBN~978-0-9860419-9-0.

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