Publication details

DSGE model with housing sector: application to the Czech economy


HLOUŠEK Miroslav

Year of publication 2013
Type Article in Proceedings
Conference Proceedings of 31th International Conference Mathematical Methods in Economics
MU Faculty or unit

Faculty of Economics and Administration

Field Economy
Keywords housing; DSGE model; collateral constraint; Bayesian estimation
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Description This paper deals with multi-sector DSGE model that is estimated on Czech economy data. The model is taken from Iacoviello and Neri (2010). There are two production sectors: consumption/investment goods sector and housing sector. These sectors contain various types of nominal and real rigidities and also different technological trends. On the demand side, there is financial friction in the form of collateral constraint which affects borrowing capacity and consumer spending. The model is estimated using Bayesian techniques. The parameters are economically interpreted, the model moments are compared to moments from data and dynamical properties of the model are studied using impulse responses and variance and shock decompositions. Results show that monetary policy has more pronounced effect on consumption and output when houses are better collateralizable. Consumption shocks, housing technology and housing preference shocks played important role in fluctuation of the real variables while inflation target shocks and cost-push shocks influenced mostly nominal variables. However, recent boom and bust in housing prices was caused primary by housing preference shocks (demand side shocks). Supply shocks were also significant but to much less extent.

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