Accès libre

Loan to Value Ratio and Monetary Transmission Mechanism

Vlastimil Reichel
Vlastimil Reichel
, 
Daniel Němec
Daniel Němec
 et 
Jakub Chalmovianský
Jakub Chalmovianský
   | 31 déc. 2019
DANUBE's Cover Image
À propos de cet article
Article précédent
Article suivant
Citez
Publié en ligne: 31 déc. 2019
Pages: 383 - 399
DOI: https://doi.org/10.2478/danb-2019-0020
Mots clés
© 2019 Vlastimil Reichel et al., published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Figure 1

Model structureSource: Own construction
Model structureSource: Own construction

Figure 2

Impulse-response of monetary shocks based on alternative LTV settings for householdsSource: Authors’ construction based on model IRFs.
Impulse-response of monetary shocks based on alternative LTV settings for householdsSource: Authors’ construction based on model IRFs.

Figure 3

Impulse-response of monetary shocks based on alternative LTV settings for households and firmsSource: Authors’ construction based on model IRFs
Impulse-response of monetary shocks based on alternative LTV settings for households and firmsSource: Authors’ construction based on model IRFs

Figure 4

Amplitudes’ sensitivity of the impulse response of monetary shocks based on alternative LTV settings for inpatient householdsSource: Authors’ construction based on model IRFs
Amplitudes’ sensitivity of the impulse response of monetary shocks based on alternative LTV settings for inpatient householdsSource: Authors’ construction based on model IRFs

Figure 5

Amplitudes’ sensitivity of the impulse response of monetary shocks based on alternative LTV settings for inpatient households and firmsSource: Authors’ construction based on model IRFs
Amplitudes’ sensitivity of the impulse response of monetary shocks based on alternative LTV settings for inpatient households and firmsSource: Authors’ construction based on model IRFs

Prior distribution

Prior distribution
ParameterDescriptionDistributionMeanStd. dev.
Production
αProportion of patient householdsBeta0.600.10
ψInvestment adjustment costsNormal2.000.50
LTV ratios
m1LTV firmsBeta0.800.10
m2LTV impatient householdsBeta0.800.10
Calvo parameter
θPrice rigidityBeta0.750.10
Monetary rule
rπInflation weight in monetary ruleNormal0.600.10
rRInterest rate weight in monetary ruleNormal0.800.10
Persistence of shocks
ρuCost-push shock persistenceBeta0.700.10
ρjHousing preference shock persistenceBeta0.700.10
ρATechnology shock persistenceBeta0.700.10
ρiInvestment shock persistenceBeta0.700.10
Volatility of shocks
ρRMonetary shockInv. gamma0.10inf
ρuCost-push shockInv. gamma0.10inf
ρjHousing preference shockInv. gamma0.10inf
ρATechnology shockInv. gamma0.10inf
ρiInvestment shockInv. gamma0.10inf
ρYShock depicting other effects in the economyInv. gamma0.001inf

Data

VariableDescriptionSourceTransformation
YReal gross domestic productCZSOlog, Ŷ
CReal consumptionCZSOlog, Ĉ
IInvestmentCZSOlog, Î
CPIConsumer Price IndexCZSOlog,CPI^\log ,\widehat{{CPI}}
HPOffer prices of apartments adjusted for inflationCZSOlog,HP^\log ,\widehat{{HP}}
R3M PRIBORCNBR^\hat R

Overview of calibrated parameters

DescriptionParameterValue
Discount factor: patient householdsβ10.99
Discount factor: Impatient householdsβ20.95
Discount factor: firmsγ0.98
Labour supply aversionη1.01
Housing weightj0.1
Capital output ratioμ0.3
Elasticity of output to real estateυ0.05
Depreciation rate of physical capitalδ0.05
Retail markupX1.1

Posterior distribution

Posterior distribution
1998:Q1–2017:Q42006:Q1–2017:Q4
ParameterMean95 HPDIMean95% HPDI
α0.32680.21560.43270.48480.35590.6160
m10.44710.31430.58210.80350.72520.8829
m20.73200.62830.83680.59310.42990.7597
θ0.74950.59220.91190.74850.59370.9147
ψ0.10670.04540.16430.31910.21740.4164
Monetary rule
rπ0.55000.37980.71900.60470.44180.7643
rR0.93550.92140.95020.92030.89850.9427
Persistence of shocks
ρu0.95470.93060.97930.75270.64350.8628
ρj0.90280.86510.94100.93540.89170.9792
ρA0.75650.67400.84120.73960.62820.8551
ρi0.64630.56040.73010.60430.51550.6918
Volatility of shocks
σR0.00170.00140.00200.00200.00150.0024
σu0.01410.01000.01810.00570.00390.0076
σj0.33480.21690.45210.21660.08750.3402
σA0.01670.01370.01950.00800.00450.0113
σi0.03800.03270.04310.03920.03210.0463
σY0.00100.00020.00190.02250.01370.0310
eISSN:
1804-8285
Langue:
Anglais
Périodicité:
4 fois par an
Sujets de la revue:
Business and Economics, Political Economics, Macroecomics, Economic Policy, Law, European Law, other
RSS Feed de la revue