National Repository of Grey Literature 6 records found  Search took 0.00 seconds. 
Monetary Transmission Mechanism: A Closer Look Inside the Black Box
Dvořák, Martin ; Vácha, Lukáš (advisor) ; Lypko, Vyacheslav (referee)
The recent economic and financial turmoil has led central banks around the world to heavily utilize unconventional monetary policy measures. Unconventional in this sense means a deflection from traditional central bank policy measures, i.e. interest rate innovations. Although these measures were widely discussed, the uniformed, coherent and comprehensive framework of such measures is still missing. The aim of this thesis is to establish the framework for possible classification of such policies together with transmission channels to the real economy. The empirical part examines the impacts of unconventional policies on real data using vector autoregression and vector error correction models. This analysis is based on monthly data period between 1999 and 2013, which is strongly affected by implementation of the unconventional policies in its second half. The last section examines the possible future of these policies as a normal instrument of central banks and describes their main challenges and shortcomings. JEL classification: C32, E40, E44, E50, E52, E58, E60 Keywords: Unconventional monetary policy, Interest rate, Decoupling principle, Balance sheet policy stratification, Quantitative easing, Channels of transmission, Vector Autoregression, Vector error correction model Author's e-mail:...
Empirical Estimates of the Taylor Rule: A Meta-Analysis
Sviták, Jan ; Havránek, Tomáš (advisor) ; Lypko, Vyacheslav (referee)
The central banks' reaction functions are commonly estimated in the empirical literature, but the results vary even for the same central bank. Meta-analysis is a tool used to uncover publication bias and explain the heterogeneity in estimates. In this thesis I analyze 1128 estimates from 88 primary studies. I examine the estimates of the coefficients from Taylor rule specification with and without interest rate smoothing and find statistically significant evidence of publication bias in all estimates of Taylor rule coefficients. Furthermore, the estimation of the effects beyond publication bias yields much lower estimates than commonly thought. I also managed to explain some of the heterogeneity in the estimates by accounting for different data characteristics used in the primary studies. E.g. different measures of inflation and output gaps significantly influence the estimates of the Taylor rule coefficients.
Profitability of Foreign Owned Banks in Central and Eastern European Countries
Kufnerová, Andrea ; Lešanovská, Jitka (advisor) ; Lypko, Vyacheslav (referee)
Since foreign owned banks create important market shares in the banking sectors in the Central and Eastern European (CEE) countries, the aim of this study is to detect the determinants of the profitability of foreign banks operating in this region. In our study, we focus on the sample of foreign owned banks in 10 CEE countries during the period 2003-2011. We investigate, using the econometric analysis, the impact of bank-specific, macroeconomic and market structure characteristics as well as the euro area development on the profitability of foreign owned banks. We also examine whether the impact of these determinants differs in the period before the global financial crisis and during the crisis. Our results suggest significant influence of the bank-specific factors on the profitability of foreign owned banks and that the sensitivity of profitability to bank-specific characteristics has even risen during the crisis period. Surprisingly, we do not find the relation between the market structure in the host country, where the banks operate, and the profitability similarly to the participation of the host country in the European Union and the euro area. However, some of the macroeconomic variables capturing both the host country and the euro area developments affect bank profitability but in some cases...
Modeling Dynamics of Correlations between Stock Markets with High-frequency Data
Lypko, Vyacheslav ; Baruník, Jozef (advisor) ; Krištoufek, Ladislav (referee)
In this thesis we focus on modelling correlation between selected stock markets using high-frequency data. We use time-series of returns of following indices: FTSE, DAX PX and S&P, and Gold and Oil commodity futures. In the first part of our empirical work we compute daily realized correlations between returns of subject instruments and discuss the dynamics of it. We then compute unconditional correlations based on average daily realized correlations and using feedforward neural network (FFNN) to assess how well the FFNN approximates realized correlations. We also forecast daily realized correlations of FTSE:DAX and S&P:Oil pairs using heterogeneous autoregressive model (HAR), autoregressive model of order p (AR(p)) and nonlinear autoregressive neural network (NARNET) and compare performance of these models.
Increasing returns to scale and international trade : role of multinational corporations in the world economy
Lypko, Vyacheslav ; Semerák, Vilém (referee) ; Benáček, Vladimír (advisor)
The aim of this thesis is to analyze increasing returns to scale as one of the important reasons that can affect market structure and pattern of international trade. Analysis id focused on theoretical models describing increasing returns to scale and it is explained how these returns affect the pattern of international trade. First part of the thesis is devoted to internal economies of scale, intraindustry trade and dumping, including empirical part. Second part is devoted to the external economies of scale and pattern of international trade. Third part is about the multinational corporations - characteristic of MNC's and their structure and their role in modern world economy.

Interested in being notified about new results for this query?
Subscribe to the RSS feed.