An Estimated DSGE Model with a Housing Sector for the Czech Economy
|Článek v odborném periodiku
|Časopis / Zdroj
|Statistics and Economy Journal
|Fakulta / Pracoviště MU
|Housing; loan-to-value ratio; DSGE model; collateral constraint; Bayesian estimation
|This paper uses an estimated DSGE model with an explicit housing sector to analyse the role of the housing sector and housing collateral for business cycle fluctuations in the Czech economy. The baseline results show that the development in the housing market has negligible effect on the rest of the economy. Counterfactual experiments indicate that the spill-overs increases with looser credit standards, if banks provide loans for higher value of houses. Similarly, with the higher loan-to-value ratios the transmission mechanism of monetary policy also seems to strengthen, with the key rates having bigger influence on the consumption and output. Looking at the development in house prices, the recent boom and bust is found to have been caused primarily by housing preference shocks (demand side shocks). Supply shocks are also found to have been significant, but to a much lesser extent.