Publication details

The housing market and credit channel of monetary policy


REICHEL Vlastimil HLOUŠEK Miroslav

Year of publication 2016
Type Article in Proceedings
Conference Proceedings of 34th International Conference Mathematical Methods in Economics
MU Faculty or unit

Faculty of Economics and Administration

Web Conference proceedings
Field Economy
Keywords Housing sector; VAR model; credit channel.
Description This paper is focused on a credit channel of monetary policy in the housing market. We test the relevance of the credit channel in the Czech housing sector in period 2006:Q1 - 2015:Q4. We use two types of structural VAR models to identify monetary policy shocks and to investigate if they have impacts on behaviour of the real variables. These VAR models are estimated using seven variables: real GDP, consumer price inflation, real house prices, volumes of mortgages, and total loans to households, mortgage interest rate and money market interest rate. Point estimates of impulse responses show that monetary policy shock has a (i) negative effect on the real GDP and mortgages of households; (ii) temporary positive effect on the real house price and (iii) positive effect on the spread between the mortgage rate and the money market interest rate. These results indicate that the monetary policy is able to significantly affect the housing market in the Czech economy.
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