HLOUŠEK, Miroslav. DSGE model with collateral constraint: estimation on Czech data. In Ramík, J., Stavárek, D.. Proceedings of 30th International Conference Mathematical Methods in Economics. 1. vyd. Karviná: Silesian University, School of Business Administration, 2012. p. 296-301, 6 pp. ISBN 978-80-7248-779-0.
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Basic information
Original name DSGE model with collateral constraint: estimation on Czech data
Name in Czech DSGE model se zajištením pomocí kolaterálu: odhad na českých datech
Authors HLOUŠEK, Miroslav (203 Czech Republic, guarantor, belonging to the institution).
Edition 1. vyd. Karviná, Proceedings of 30th International Conference Mathematical Methods in Economics, p. 296-301, 6 pp. 2012.
Publisher Silesian University, School of Business Administration
Other information
Original language English
Type of outcome Proceedings paper
Field of Study 5.2 Economics and Business
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
Publication form printed version "print"
WWW URL
RIV identification code RIV/00216224:14560/12:00060894
Organization unit Faculty of Economics and Administration
ISBN 978-80-7248-779-0
UT WoS 000316715900051
Keywords in English collateral constraint;housing; DSGE model; Bayesian estimation
Tags International impact, Reviewed
Changed by Changed by: Ing. Miroslav Hloušek, Ph.D., učo 21886. Changed: 11/3/2014 15:45.
Abstract
Czech data shows positive comovement of house prices and consumption in reaction to house price shock. This behavior can be explained by collateral effect when houses serve as collateral for credit constrained households. This type of friction is present in the Dynamic Stochastic General Equilibrium (DSGE) model from Iacoviello (2005) which is slightly modified and estimated on Czech data using Bayesian techniques. The estimated parameters are economically interpreted and ability of the model to match moments in data is assessed. Situation when houses are not collateralizable is examined. This exercise shows that the collateral effect is necessary feature of the model to deliver positive reaction of consumption to house price shock.
Abstract (in Czech)
Česká data ukazují, že ceny domů se pohybují společně se spotřebou v reakci na šok v cenách nemovitostí. Toto chování může být vysvětleno efektem zajištění, kdy domy slouží jako kolaterál (zástava) pro domácnosti, které mají omezený přístup k úvěru. Tento typ frikce je přítomen v DSGE modelu z publikace Iacoviello (2005), který je mírně upraven a odhadnut na českých datech pomocí Baysovských technik. Odhadnuté parametry jsou ekonomicky interpretovány a je posouzena vysvětlovací schopnost modelu replikovat statistické momenty v datech. Dále je prozkoumána situace, kdy domy nemohou sloužit jako kolaterál. Tento experiment ukazuje, že efekt zajištění je nutnou chrakteristikou modelu, aby generoval kladnou reakci spotřeby na šok v cenách nemovitostí.
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991911 /1 Hloušek, M. 14. 9. 2012

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