About: DSGE model with collateral constraint: estimation on Czech data

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://www.econ.muni.cz/~hlousek/papers/collateral.pdf
Description	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. 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. (en)
Title	DSGE model with collateral constraint: estimation on Czech data DSGE model with collateral constraint: estimation on Czech data (en)
skos:prefLabel	DSGE model with collateral constraint: estimation on Czech data DSGE model with collateral constraint: estimation on Czech data (en)
skos:notation	RIV/00216224:14560/12:00060894!RIV13-MSM-14560___
http://linked.open...avai/riv/aktivita	V
http://linked.open...avai/riv/aktivity	V
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Hloušek, Miroslav
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Masarykova univerzita / Ekonomicko-správní fakulta
http://linked.open...dnocenehoVysledku	132269
http://linked.open...ai/riv/idVysledku	RIV/00216224:14560/12:00060894
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	collateral constraint; housing; DSGE model; Bayesian estimation (en)
http://linked.open.../riv/klicoveSlovo	Bayesian estimation housing DSGE model collateral constraint
http://linked.open...ontrolniKodProRIV	[67BB8459CCA3]
http://linked.open...v/mistoKonaniAkce	Karviná
http://linked.open...i/riv/mistoVydani	Karviná
http://linked.open...i/riv/nazevZdroje	Proceedings of 30th International Conference Mathematical Methods in Economics
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...UplatneniVysledku	2012
http://linked.open...iv/tvurceVysledku	Hloušek, Miroslav
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open.../riv/zahajeniAkce	2012-09-11 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Silesian University, School of Business Administration
https://schema.org/isbn	9788072487790
http://localhost/t...ganizacniJednotka	14560

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