Loan to Value Ratio and Monetary Transmission Mechanism

Figures & Tables

		Prior distribution

Parameter	Description	Distribution	Mean	Std. dev.

Production

α	Proportion of patient households	Beta	0.60	0.10
ψ	Investment adjustment costs	Normal	2.00	0.50

LTV ratios

m₁	LTV firms	Beta	0.80	0.10
m₂	LTV impatient households	Beta	0.80	0.10

Calvo parameter

θ	Price rigidity	Beta	0.75	0.10

Monetary rule

r_π	Inflation weight in monetary rule	Normal	0.60	0.10
r_R	Interest rate weight in monetary rule	Normal	0.80	0.10

Persistence of shocks

ρ_u	Cost-push shock persistence	Beta	0.70	0.10
ρ_j	Housing preference shock persistence	Beta	0.70	0.10
ρ_A	Technology shock persistence	Beta	0.70	0.10
ρ_i	Investment shock persistence	Beta	0.70	0.10

Volatility of shocks

ρ_R	Monetary shock	Inv. gamma	0.10	inf
ρ_u	Cost-push shock	Inv. gamma	0.10	inf
ρ_j	Housing preference shock	Inv. gamma	0.10	inf
ρ_A	Technology shock	Inv. gamma	0.10	inf
ρ_i	Investment shock	Inv. gamma	0.10	inf
ρ_Y	Shock depicting other effects in the economy	Inv. gamma	0.001	inf

Variable	Description	Source	Transformation

Y	Real gross domestic product	CZSO	log, Ŷ
C	Real consumption	CZSO	log, Ĉ
I	Investment	CZSO	log, Î
CPI	Consumer Price Index	CZSO	log,CPI^\log ,\widehat{{CPI}}
HP	Offer prices of apartments adjusted for inflation	CZSO	log,HP^\log ,\widehat{{HP}}
R	3M PRIBOR	CNB	R^\hat R

Description	Parameter	Value

Discount factor: patient households	β₁	0.99
Discount factor: Impatient households	β₂	0.95
Discount factor: firms	γ	0.98
Labour supply aversion	η	1.01
Housing weight	j	0.1
Capital output ratio	μ	0.3
Elasticity of output to real estate	υ	0.05
Depreciation rate of physical capital	δ	0.05
Retail markup	X	1.1