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Uncertainty and House Prices: Empirical Evidence
Kos, Jiří ; Horváth, Roman (advisor) ; Hlaváček, Michal (referee)
This thesis studies the relationship between house prices, economic fundamen- tals and uncertainty using panel data from 10 OECD member countries and time series data from the United States. Traditional techniques, such as coin- tegration testing, are used to find a possible long-run link between house prices and their determinants. Employing both single-equation ARDL and multi- equation VEC models, we find evidence of a possible long-run relationship between house prices and fundamentals in the panel data. The results from the time series analysis are inconclusive, mostly leaning towards no presence of cointegration. A measure of interest rate is a vital determinant in most mod- els., while income does not exhibit a long-run connection with house prices. Moreover, results indicate the importance of uncertainty in determining house price dynamics, exhibiting both negative and positive effects. JEL Classification C22, D80, R20, R21, R28, R30, Keywords house prices, uncertainty, cointegration, eco- nomic fundamentals, interest rate Title Uncertainty and House Prices: Empirical Evi- dence
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Monetary Policy and House Prices in the US: Evidence from Time-Varying VAR Model
Brunová, Kristýna ; Horváth, Roman (advisor) ; Holub, Tomáš (referee)
This thesis examines the effects of monetary policy shocks on the housing market. To this end, TVP-VAR model with dynamic dimension selection and stochastic volatility is estimated using monthly data for the United States over the period 1999-2017. Moreover, the model features estimating the optimal value of the Bayesian shrinkage coefficient in a time-varying manner. Since the sample covers the Zero Lower Bound period, Wu-Xia shadow rate is employed to measure the stance of monetary policy. To assess the link between housing variables and monetary policy, impulse responses and forecast error variance decompositions are provided. However, due to the time-varying nature of the model, they are estimated only for selected time periods that correspond both to the events that most likely influenced the path of macroeconomic and financial variables and to periods of low economic uncertainty. The main results are threefold. First, the model suggests that monetary policy shocks can contribute to developments in house prices. Second, the stimulative monetary policy positively affects residential investment and negatively affects mortgage rates, however, the effects are not significant due to the large confidence bands of the impulse responses. Third, higher values of the shrinkage hyperparameter are crucial for...
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The Effects of Monetary Policy on Housing Prices: Evidence from the Czech Republic
Michalec, Jan ; Havránek, Tomáš (advisor) ; Holub, Tomáš (referee)
This thesis explores the relationship between interest rates, house prices and main macroeconomic variables. In particular, I examine how monetary policy affects house prices in the Czech Republic. The hypotheses assume that an increase in the interest rate that tends to decrease house prices also reduces output and inflation simultaneously. Therefore, the latter would imply that the monetary authority faces a trade-off between macroeconomic and financial stability. The empirical analysis is based on a vector autoregression model and the monetary policy shock is retrieved by the Cholesky decomposition. As for the results, the findings of the thesis conclude that there is a costly trade-off between macroeconomic and financial stability within the Czech economy.
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Monetary Policy and House Prices in the US: Evidence from Time-Varying VAR Model
Brunová, Kristýna ; Horváth, Roman (advisor) ; Holub, Tomáš (referee)
This thesis examines the effects of monetary policy shocks on the housing market. To this end, TVP-VAR model with dynamic dimension selection and stochastic volatility is estimated using monthly data for the United States over the period 1999-2017. Moreover, the model features estimating the optimal value of the Bayesian shrinkage coefficient in a time-varying manner. Since the sample covers the Zero Lower Bound period, Wu-Xia shadow rate is employed to measure the stance of monetary policy. To assess the link between housing variables and monetary policy, impulse responses and forecast error variance decompositions are provided. However, due to the time-varying nature of the model, they are estimated only for selected time periods that correspond both to the events that most likely influenced the path of macroeconomic and financial variables and to periods of low economic uncertainty. The main results are threefold. First, the model suggests that monetary policy shocks can contribute to developments in house prices. Second, the stimulative monetary policy positively affects residential investment and negatively affects mortgage rates, however, the effects are not significant due to the large confidence bands of the impulse responses. Third, higher values of the shrinkage hyperparameter are crucial for...
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Vývoj cen nemovitostí v Londýně
Svoboda, David ; Cibulka, Jakub (advisor) ; Galuška, Jiří (referee)
The subject of this bachelor thesis is to analyze London residential housing market in the period of time from 1995 to 2016. In the first part of the thesis the emphasis is put on the definition of theories related to the topic. It includes the reasons why house prices are worth measuring. Another point of the theory are the economic fundaments which influence the house prices. The main topic and result of this bachelor thesis is a deep analysis of the development of house prices in London. Based on the analysis, in the conclusion, it is enabled to evaluate the stability of the market. It is particularly the problematics of high house prices and affordabulity, which is solved in this document. These topics have become increasingly popular in London, recently. The work concentrates data from many fields, which affect developments housing markets, in one document. Thanks to it, the work provides comprehensibly processed data from statistical authorities such as HM Land Registry or Office for National Statistics including useful comparisons of important fundamentals.
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The housing market and the reactions of the monetary authority in the context of liquidity surplus
Čechura, Jakub ; Šíma, Ondřej (advisor) ; Gevorgyan, Kristine (referee)
The diploma thesis is mainly focused on the housing market and central bank's (supervisory authority's) potential reactions to risks arising from it. The thesis provides a broader perspective of the housing market so that the first part is devoted to the liquidity surplus as it is closely connected with the housing market. The next part of the thesis focuses on housing price bubbles and subsequent bursts as well as the tools of the central bank (supervisory authority) to mitigate such risks. It is discussed whether using monetary policy to affect house prices that do not reflect fundamentals is advisable. Macroprudential policy with its tools is introduced as an alternative. Special attention is paid to the Czech housing market.
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Determinants of house prices in central and eastern Europe
Égert, Balázs ; Mihaljek, Dubravko
This paper studies the determinants of house prices in eight transition economies of Central and Eastern Europe (CEE) and 19 OECD countries. The main question addressed is whether the conventional fundamental determinants of house prices, such as GDP per capita, real interest rates, housing credit and demographic factors, have driven observed house prices in CEE.
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