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

REICHEL, Vlastimil, Barbara KLAPALOVÁ, Tatiana KESELIOVÁ a Jakub CHALMOVIANSKÝ. THE IMPACT OF MONETARY POLICY ON REAL ESTATE MARKET DURING COVID-19 CRISIS USING A DSGE MODEL OF A SMALL OPEN ECONOMY. In PROCEEDINGS OF THE INTERNATIONAL SCIENTIFIC CONFERENCE ECONOMIC AND SOCIAL POLICY. Havirov: PRIGO UNIV, 2021, s. 427;439, 13 s.

Základní údaje

• Originální název: THE IMPACT OF MONETARY POLICY ON REAL ESTATE MARKET DURING COVID-19 CRISIS USING A DSGE MODEL OF A SMALL OPEN ECONOMY
• Autoři: REICHEL, Vlastimil, Barbara KLAPALOVÁ, Tatiana KESELIOVÁ a Jakub CHALMOVIANSKÝ.
• Vydání: Havirov, PROCEEDINGS OF THE INTERNATIONAL SCIENTIFIC CONFERENCE ECONOMIC AND SOCIAL POLICY, od s. 427;439, 13 s. 2021.
• Nakladatel: PRIGO UNIV

Další údaje

• Typ výsledku: Kapitola resp. kapitoly v odborné knize
• Utajení: není předmětem státního či obchodního tajemství
• Organizační jednotka: Ekonomicko-správní fakulta
• Klíčová slova anglicky: Housing Sector; Loan to Value Ratio; NK SOE DSGE Model; Monetary Transmission Mechanism

Anotace

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.