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Asset prices and macroeconomics: towards a unified macro-finance framework
Maršál, Aleš ; Horváth, Roman (advisor) ; Holub, Tomáš (referee) ; Kónya, István (referee) ; Pástor, Luboš (referee)
Asset prices and macroeconomics: towards a unified macro-finance framework Aleš Maršál March 30, 2020 Abstract The dissertation consists of three papers focused on fiscal policy and explaining what determines the dynamics of cross-sectional distribution of bond prices. The connecting factor of the thesis is however not just its main theme but also the used methodology. The valuation of bonds and effects of studied policies are endogenous outcome of the full-fledged macro-finance dynamic stochastic general equilibrium model. The first chapter provides broader context and non-technical summary of the three papers in following chapters. The first paper studies the role of trend inflation in bond pricing. Motivated by recent empirical findings that emphasize low-frequency movements in inflation as a key determinant of term structure, we introduce trend inflation into the workhorse macro-finance model. We show that this compromises the earlier model success and delivers implausible busi- ness cycle and bond price dynamics. We document that this result applies more generally to non-linearly solved models with Calvo pricing and trend inflation and is driven by the behavior of price dispersion, which is i) counterfactually high and ii) highly inaccurately approximated. We highlight the channels be- hind the undesired performance...
Balance sheet implications of the Czech National Bank’s exchange rate commitment
Franta, Michal ; Holub, Tomáš ; Saxa, Bronislav
We present projections of the Czech National Bank’s balance sheet after the discontinuation of the exchange rate commitment. Our model addresses the situation of a large central bank balance sheet with assets consisting almost exclusively of foreign exchange reserves in the circumstances of a catching-up economy exhibiting an exchange rate appreciation trend. Apart from the baseline projection, several counter-factual scenarios are discussed. The scenarios concern the evolution of the balance sheet in the cases of no exchange rate commitment and a commitment with earlier discontinuation. The simulated counter-factual duration of negative CNB equity, and thus the period of no profit distribution to the government, does not differ substantially from the baseline. The fiscal implications of the exchange rate commitment are thus estimated to be relatively small and related only to the period after the year 2030. Our stochastic simulations, however, show that the uncertainty bands are very wide. In addition, we show that the simulation tool can be employed to discuss the consequences of a long-run decline in currency in circulation, the composition of the asset side and the resumption of foreign exchange income sales by the central bank.
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Equilibrium Exchange Rates and Exchange Rate Misalignments in the Visegrad Group
Pavlikova, Patricia ; Holub, Tomáš (advisor) ; Kočenda, Evžen (referee)
Title: Equilibrium Exchange Rates and Exchange Rate Misalignments in the Visegrad Group Author: Patricia Pavlikova Department: Institut of Economic Siences Supervisor: doc.Mgr. Tomáš Holub Ph.D, IES Abstract: The main objective of this diploma thesis is to estimate equilibrium exchange rates for four countries forming Visegrad Group partnership and to evaluate whether their exchange rates are overvalued, undervalued or in equilibrium with their economic development and with market. We focused on two widely used models, Behavioral Equilibrium Exchange Rate Model and Fundamental Equilibrium Exchange Rate Model and estimated several alternations of each model. Results where then compared and we derived implications for each country. We could clearly see that each country is developing differently in terms of equilibrium exchange rates. While the exchange rate of Czech Republic seems to oscillate steadily around its equilibrium value, we spotted higher misalignments for the rest of the country. Also, we saw that Hungary is on path of constant depreciation, which is related with economic issues country is struggling. Polish Zloty is characterized by overall high amplitude of movements of its exchange rate and by frequent undervaluation of the currency, implying favorable development of the economy, taking into...
Monetary Policy, Macroprudential Policy and Financial Stabiliy in the Post-Crisis Framework
Malovaná, Simona ; Holub, Tomáš (advisor) ; Teplý, Petr (referee) ; Juselius, John Mikael (referee) ; Šaroch, Stanislav (referee)
This dissertation consists of four empirical papers analysing and discussing central bank policies in the post-crisis period. After the global financial crisis central bankers and other regulators have faced many new challenges, including a prolonged period of acommodative monetary policy, side effects of monetary policy easing on financial stability and interaction of macroprudential, microprudential and monetary policy. On top of that, policy makers must deal with uncertainty surrounding the transmission and the effectiveness of newly introduced macroprudential measures. The empirical analyses focus primarily on the Czech Republic and its banking sector, with an exception of the first essay. Using data for the Czech Republic and five euro area countries, the first essay shows that monetary tightening has a negative impact on the credit-to-GDP ratio and banks' capital-to-asset ratio, while these effects have strengthened considerably since mid-2011. This supports the view that accommodative monetary policy contributes to a build- up of financial vulnerabilities, i.e. it boosts the credit cycle. The second essay assesses the transmission of higher additional capital requirements stemming from capital buffers and Pillar 2 add-ons on banks' capital ratio, capital surplus and implicit risk weights. The results...
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.
Reinforcement learning in Agent-based macroeconomic model
Vlk, Bořivoj ; Skuhrovec, Jiří (advisor) ; Holub, Tomáš (referee)
Utilizing game theory, learning automata and reinforcement learning concepts, thesis presents a computational model (simulation) based on general equilibrium theory and classical monetary model. Model is based on interacting Constructively Rational agents. Constructive Ratio- nality has been introduced in current literature as machine learning based concept that allows relaxing assumptions on modeled economic agents information and ex- pectations. Model experiences periodical endogenous crises (Fall in both production and con- sumption accompanied with rise in unemployment rate). Crises are caused by firms and households adopting to a change in price and wage levels. Price and wage level adjustments are necessary for the goods and labor market to clear in the presence of technological growth. Finally, model has good theoretical background and large potential for further de- velopment. Also, general properties of games of learning entities are examined, with special focus on sudden changes (shocks) in the game and behavior of game's play- ers, during recovery from which rigidities can emerge. JEL Classification D80, D83, C63, E32, C73, Keywords Learning, Information and Knowledge, Agent-based, Reinforcement learning, Business cycle, Stochastic and Dynamic Games, Simulation, Modeling Author's e-mail...
The Performance of inflation targeting in emerging market economies
Reshketa, Sidita ; Holub, Tomáš (advisor) ; Turnovec, František (referee)
The aim of the thesis is to study the performance of emerging economies under the inflation targeting as a framework. This framework is characterized by the direct target that it has on inflation which should be achieved within a period. Inflation targeting was initially adopted by industrialized economies, and the outcomes throughout the years have been substantially good for other economies to join this framework. The dataset used is updated with data from after the financial crises allowing space for us to test another hypothesis about the importance of inflation targeting during the financial crises. We used difference to difference model to test our hypothesis and we concluded that inflation targeting does not have any significant statistical effect on the output growth, but it does have a statistical significant effect in the inflation rate. We also pointed out that the economies that were targeting inflation during the financial crises performed much better compared to the ones which did not. JEL Classification E31, E44, G01 Keywords Inflation targeting, emerging and developed economies, financial crises Author's e-mail sreshketa@gmail.com Supervisor's e-mail tomas.holub@cnb.cz
Political budget cycle of regional expenditures
Bendžíková, Iva ; Šťastná, Lenka (advisor) ; Holub, Tomáš (referee)
Decisions of elected politicians affect all citizens of a given territory without any exception, for the next few years. For that reason, many potential voters try to analyze the former behavior of possible candidates, since they assume the consistency in the previous behavior and decision- making with their performance in the following period. This paper provides a unique disaggregated view of selected items of regional budgets that have not been investigated in connection with the existence of political-budget cycles in existing empirical research yet. The econometric analysis of panel data collected from thirteen regions (due to its specific nature Prague is not considered) over the period 2001-2016 unambiguously confirmed the existence of political-budget cycles at the regional level in the Czech Republic, that is characterized by a significant increase in total current and capital expenditures in the pre- electoral and the electoral years in comparison with the non-electoral years. In accordance with the further hypothesis of the thesis, we observe the significant increase especially in groups of spending that are attractive and easily recognizable to voters. These include for example expenditures on health, culture or environmental protection. Moreover, it has been proven, that some...
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...
Macroprudential Policy and its Impact on the Real Estate Market
Wdowyczynová, Lucie ; Malovaná, Simona (advisor) ; Holub, Tomáš (referee)
After the recent world financial crisis, macroprudential policy tools have started to play an important role in maintaining financial stability. In many countries, the tools have been extensively used only in recent years and their effectiveness is often difficult to assess. Using an index as a proxy for policy tools is one of ways to measure their impact. In this thesis, a new index capturing, in contrast with other studies, also an intensity factor, is constructed. Results are mostly in accordance with economic intuition and existing studies and suggest that indices constructed in an equivalent way can help to understand the impact of policies on changes in housing prices and credit volumes. JEL Classification F12, F21, F23, H25, H71, H87 Keywords macroprudential policy, systemic risk, house prices growth, credit growth Author's e-mail Lucie.Wdowyczynova@hotmail.com Supervisor's e-mail Simona.Malovana@gmail.com

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