Work detail

The Effects of Monetary Policy on Real Estate Market: a SVAR Analysis

Author: Mgr. Pavel Stirba
Year: 2019 - summer
Leaders: PhDr. František Čech Ph.D.
Work type: Masters
Language: English
Pages: 84
Awards and prizes:
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




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