Loan to value ratio and monetary transmission mechanism

J 2019

Loan to value ratio and monetary transmission mechanism

REICHEL, Vlastimil; Daniel NĚMEC a Jakub CHALMOVIANSKÝ

Základní údaje

Originální název

Loan to value ratio and monetary transmission mechanism

Autoři

REICHEL, Vlastimil; Daniel NĚMEC a Jakub CHALMOVIANSKÝ

Vydání

DANUBE: Law, Economics and Social Issues Review, 2019, 1804-6746

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50202 Applied Economics, Econometrics

Stát vydavatele

Spojené státy

Utajení

není předmětem státního či obchodního tajemství

Odkazy

URL

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14560/19:00112148

Organizační jednotka

Ekonomicko-správní fakulta

DOI

https://doi.org/10.2478/danb-2019-0020

EID Scopus

2-s2.0-85078399850

Klíčová slova anglicky

Housing Sector; Loan to Value Ratio; DSGE Model; Monetary Transmission Mechanism; Czech Republic

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 11. 5. 2020 16:15, Mgr. Daniela Marcollová

Anotace

V originále

Using a dynamic stochastic general equilibrium model (DSGE) with the housing sector, this paper evaluates the impact of housing collateral on the business cycle in the Czech economy. We devote special attention to the setting of the loan to value (LTV) ratio, which we believe plays an important role as a regulator of the monetary transmission mechanism. The impacts of LTV ratio are quantified by simulating the responses of alternative LTV level setting on key macroeconomic variables. Our simulations are based on an estimated DSGE model. Our approach allows us to understand better the responses of the real economy to the tightening of monetary policy moderated by different LTV levels. Our results show that higher loan to value ratios strengthen the effect of the monetary transmission mechanism to consumption and output.

Návaznosti

MUNI/A/0972/2018, interní kód MU

Název: Dynamické modelování strukturálních změn trhu práce a trhu s nemovitostmi v průběhu hospodářského cyklu

Investor: Masarykova univerzita, Dynamické modelování strukturálních změn trhu práce a trhu s nemovitostmi v průběhu hospodářského cyklu, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Přiložené soubory

reichel.pdf

Požádat o autorskou verzi souboru

Citovat

REICHEL, Vlastimil; Daniel NĚMEC a Jakub CHALMOVIANSKÝ. Loan to value ratio and monetary transmission mechanism. DANUBE: Law, Economics and Social Issues Review. 2019, roč. 10, č. 4, s. 383-399. ISSN 1804-6746. Dostupné z: https://doi.org/10.2478/danb-2019-0020.

@article{1600656,
   author = {Reichel, Vlastimil and Němec, Daniel and Chalmovianský, Jakub},
   article_number = {4},
   doi = {https://doi.org/10.2478/danb-2019-0020},
   keywords = {Housing Sector; Loan to Value Ratio; DSGE Model; Monetary Transmission Mechanism; Czech Republic},
   language = {eng},
   issn = {1804-6746},
   journal = {DANUBE: Law, Economics and Social Issues Review},
   title = {Loan to value ratio and monetary transmission mechanism},
   url = {http://www.eaco.eu/danube-journal/archive/},
   volume = {10},
   year = {2019}
}

TY  - JOUR
ID  - 1600656
AU  - Reichel, Vlastimil - Němec, Daniel - Chalmovianský, Jakub
PY  - 2019
TI  - Loan to value ratio and monetary transmission mechanism
JF  - DANUBE: Law, Economics and Social Issues Review
VL  - 10
IS  - 4
SP  - 383-399
EP  - 383-399
SN  - 18046746
KW  - Housing Sector
KW  - Loan to Value Ratio
KW  - DSGE Model
KW  - Monetary Transmission Mechanism
KW  - Czech Republic
UR  - http://www.eaco.eu/danube-journal/archive/
L2  - http://www.eaco.eu/danube-journal/archive/
N2  - Using a dynamic stochastic general equilibrium model (DSGE) with the housing sector, this paper evaluates the impact of housing collateral on the business cycle in the Czech economy. We devote special attention to the setting of the loan to value (LTV) ratio, which we believe plays an important role as a regulator of the monetary transmission mechanism. The impacts of LTV ratio are quantified by simulating the responses of alternative LTV level setting on key macroeconomic variables. Our simulations are based on an estimated DSGE model. Our approach allows us to understand better the responses of the real economy to the tightening of monetary policy moderated by different LTV levels. Our results show that higher loan to value ratios strengthen the effect of the monetary transmission mechanism to consumption and output.
ER  -

REICHEL, Vlastimil; Daniel NĚMEC a Jakub CHALMOVIANSKÝ. Loan to value ratio and monetary transmission mechanism. \textit{DANUBE: Law, Economics and Social Issues Review}. 2019, roč.~10, č.~4, s.~383-399. ISSN~1804-6746. Dostupné z: https://doi.org/10.2478/danb-2019-0020.

Přehled o publikaci