The Effects of Monetary Policy on Housing Prices: Evidence from the Czech Republic
| Název práce v češtině: | Vliv monetární politiky na ceny nemovitostí v České republice |
|---|---|
| Název v anglickém jazyce: | The Effects of Monetary Policy on Housing Prices: Evidence from the Czech Republic |
| Klíčová slova: | ceny nemovitostí, Choleskyho analýza, monetární politka, VAR model |
| Klíčová slova anglicky: | house prices, Cholesky decomposition, monetary policy, VAR model |
| Akademický rok vypsání: | 2016/2017 |
| Typ práce: | diplomová práce |
| Jazyk práce: | angličtina |
| Ústav: | Institut ekonomických studií (23-IES) |
| Vedoucí / školitel: | prof. PhDr. Tomáš Havránek, Ph.D. |
| Řešitel: | skrytý - zadáno vedoucím/školitelem |
| Datum přihlášení: | 07.06.2017 |
| Datum zadání: | 18.06.2017 |
| Datum a čas obhajoby: | 16.01.2019 08:30 |
| Místo konání obhajoby: | Opletalova - Opletalova 26, O206, Opletalova - místn. č. 206 |
| Datum odevzdání elektronické podoby: | 18.12.2018 |
| Datum proběhlé obhajoby: | 16.01.2019 |
| Oponenti: | doc. Mgr. Tomáš Holub, Ph.D. |
| Kontrola URKUND: | |
| Seznam odborné literatury |
| Dokko, J., Doyle, B. M., Kiley, M. T., Kim, J., Sherlund, S., Sim, J., & Van den
Heuvel, S. (2009). Monetary policy and the global housing bubble. Economic Policy, 26(66), 237-287 Goodhart, C., & Hofmann, B. (2008). House prices, money, credit, and the macroeconomy. Oxford Review of Economic Policy, 24(1), 180-205. Granger, C. W. (1969). Investigating causal relations by econometric mod- els and cross-spectral methods. Econometrica: Journal of the Econometric Society, 424-438. Otrok, C., & Terrones, M. E. (2005). House prices, interest rates and macroe- conomic fluctuations: international evidence.Unpublished manuscript Jarocinski, M., & Smets, F. (2008). House prices and the stance of monetary policy. Taylor, J. B. (2007). Housing and monetary policy (No. w13682). National Bureau of Economic Research. Williams, J. (2015). Measuring monetary policy's effect on house prices.FRBSF Economic Letter, 28. |
| Předběžná náplň práce |
| The recent financial crisis put more emphasis on examining the effect of monetary policy on housing prices. In general, central banks aim at financial stability and sustainable growth through interest rate adjustment. Rising interest rates is viewed as a mechanism to correct (housing) asset prices which are above long term equilibrium. Nevertheless, this approach can come at cost of macroeconomic stability in terms of decreased inflation and economic output.
When it comes to the academic field, many scholars investigated significant relationship between monetary policy and housing. For example, Williams (2015) shows that rise in interest rate enhances financial stability via reduced housing prices, however at the expense of the main macroeconomic variables. Next, Taylor (2007) demonstrated that deviation from the boom reducing monetary policy may have caused subprime mortgage crisis. In contrast, Dokko et al. (2009) claim that the monetary policy was not the main cause of the downturn. However, the authors concur on the negative relationship between house prices and interest rates. The aim of this thesis is to elaborate current economic environment of the Czech Republic. The expansionary monetary policy of the Czech National Bank resulted in low interest rates and boosted income. At the same time, demand for mortgages highly increased and housing asset prices substantially rose, too. This contribution will investigate the relationship between monetary policy and housing prices and its potential effect on both financial and macroeconomic stability based on evidence from the Czech Republic. |