THE IMPACT OF MONETARY POLICY ON REAL ESTATE MARKET DURING COVID-19 CRISIS USING A DSGE MODEL OF SMALL OPEN ECONOMY

REICHEL, Vlastimil, Barbara KLAPALOVÁ, Tatiana KESELIOVÁ and Jakub CHALMOVIANSKÝ. THE IMPACT OF MONETARY POLICY ON REAL ESTATE MARKET DURING COVID-19 CRISIS USING A DSGE MODEL OF SMALL OPEN ECONOMY. Online. In Ing. Veronika Nálepová, Ph.D.; Ing. Martina Pavlorková. Proceedings of the International Scientific Conference ECONOMIC AND SOCIAL POLICY. Ostrava: Vysoká škola PRIGO, 2021, p. 439-451. ISBN 978-80-87291-29-0.

Basic information

• Original name: THE IMPACT OF MONETARY POLICY ON REAL ESTATE MARKET DURING COVID-19 CRISIS USING A DSGE MODEL OF SMALL OPEN ECONOMY
• Authors: REICHEL, Vlastimil (203 Czech Republic, belonging to the institution), Barbara KLAPALOVÁ (203 Czech Republic, guarantor, belonging to the institution), Tatiana KESELIOVÁ (703 Slovakia, belonging to the institution) and Jakub CHALMOVIANSKÝ (703 Slovakia, belonging to the institution).
• Edition: Ostrava, Proceedings of the International Scientific Conference ECONOMIC AND SOCIAL POLICY, p. 439-451, 13 pp. 2021.
• Publisher: Vysoká škola PRIGO

Other information

• Original language: English
• Type of outcome: Proceedings paper
• Field of Study: 50201 Economic Theory
• Country of publisher: Czech Republic
• Confidentiality degree: is not subject to a state or trade secret
• Publication form: electronic version available online
• WWW: URL
• RIV identification code: RIV/00216224:14560/21:00123624
• Organization unit: Faculty of Economics and Administration
• ISBN: 978-80-87291-29-0
• Keywords in English: Housing Sector; Loan to Value Ratio; NK SOE DSGE Model; Monetary Transmission Mechanism
• Tags: International impact, Reviewed

Abstract

Using a new Keynesian small open economy dynamic stochastic general equilibrium model (NK SOE DSGE) with the housing sector, this paper evaluates the impact of housing collateral and changes in openness of economy 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. Moreover, we try to simulate the effects of a reduction in the openness of the economy in the context of an incoming pandemic crisis. The impacts alternative LTV level and openness level setting are quantified by simulating the responses of monetary shock on key macroeconomic variables. Our simulations are based on an estimated DSGE model. Our approach allows a better understanding of the response of the real economy to monetary tightening mitigated by different levels of LTV, and allows a comparison of how these effects change in an environment of altered economic openness. Our results show that higher loan to value ratios strengthen the effect of the monetary transmission mechanism to consumption and output. In contrast, changes in the openness of the economy showed no significant changes in the dynamics of monetary transmission to real variables.

Links

• MUNI/A/1099/2020, interní kód MU: Name: Dopady zmien na trhu práce a v daňovom systéme na dynamiku českej ekonomiky

Investor: Masaryk University