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1 Ekonomický časopis (Journal of Economics)

1 2014

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HOUSING SECTOR-SPECIFIC DSGE MODEL WITH APPLICATIONS TO CZECH AND SLOVAK ECONOMIES

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Bouda M. , Formánek T.

Ekonomický časopis (Journal of Economics)

2014

tom 62

nr 8

805 – 822

In this paper, we introduce and use a dynamic stochastic general equilibrium (DSGE) model tailored for analysis of small open economies, which is further amended to encompass housing sector-specific dynamics and to generate relevant insight and conditional forecasts for the housing sector. We analyse and compare the housing sector dynamic behaviour for the Czech Republic and the Slovak Republic. The empirical part of our paper consists of Bayesian estimation and evaluation of the model, impulse response analysis and conditional forecasts under alternative macroeconomic policy scenarios. We find significant pro-volatile impact of higher loan to values (LTVs) for both economies analysed. This effect is observed both in IRFs and conditional forecasts calculated using different LTV-based scenarios.