Original title: Dopady měnové politiky na trh s nemovitostmi: analýza SVAR
Translated title: The Effects of Monetary Policy on Real Estate Market: a SVAR Analysis
Authors: Stirba, Pavel ; Čech, František (advisor) ; Hlaváček, Michal (referee)
Document type: Master’s theses
Year: 2019
Language: eng
Abstract: This thesis empirically investigates the effects of monetary policy instruments on the real estate market for the following countries: Germany, France, the Netherlands, Spain and the United Kingdom, using a Structural Vector Autoregression model (SVAR) with Choleski recursive identification. This was done from the three different aspects: interest rate, scale of credit, and output. The covered period lasts from the first quarter of 2005 and then varies, depending on the country. The Wu-Xia shadow rate was used as a proxy for the interest rate, households' debt was used as a proxy for scale of credit, and real GDP was used as a proxy for the output. As the output of the analysis, we used the impulse response functions (IRF) and forecast errors variance decomposition (FEVD). The results suggest that the Residential Property Prices (RPPI) in every country react positively to an output shock and negatively to interest rates (except Spain). The effect of household debt on RPPI and statistical significance of intervals depend on the country observed.
Keywords: monetary policy; real estate; SVAR; monetary policy; real estate; SVAR

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/110295

Permalink: http://www.nusl.cz/ntk/nusl-405604

The record appears in these collections:
Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses
 Record created 2019-10-19, last modified 2019-12-09

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