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Examining the Link between Financial Market Efficiency and Monetary Transmission Mechanism
Krejčí, Tadeáš ; Krištoufek, Ladislav (advisor) ; Vácha, Lukáš (referee)
In an effort to examine role of capital markets' efficiency in transmission of monetary policy, 28 time series of market efficiency development are estimated with use of long-term memory and fractal dimension measures and a panel of 27 inflation targeting countries is constructed to run a random effect regres- sion. The cases of Czech Republic and Austria are thereafter more closely examined with use a vector-autoregressive and threshold vector-autoregressive frameworks on macroeconomic data spanning from 1996:Q3 to 2018:Q4. The evidence obtained through the conducted analyses support the hypothesis, that a more efficiently functioning capital market better contributes to monetary policy pass-through, or conversely, that high transaction costs, barriers to cap- ital market entry, or poor information availability may hinder the effects of central bank's monetary policy. JEL Classification F12, F21, F23, H25, H71, H87 Keywords capital market efficiency, inflation targeting, monetary transmission mechanism Author's e-mail teddy.krejci@gmail.com Supervisor's e-mail LK@fsv.cuni.cz
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Effect of CNB's Monetary Intervention on Czech Exports to Germany
Krejčí, Tadeáš ; Šopov, Boril (advisor) ; Svačina, David (referee)
The primary interest of the thesis consists in impact of the Czech National Bank's monetary intervention on the volumes of Czech exports to Germany. To determine the significance of the potential casual effect, a Vector Autoregressive (VAR) model is constructed based on economic introspection and previous findings of other authors, to be subsequently estimated using the lucid method of least squares. Based on this procedure, we find evidence supporting the positive causal effect at hand. The results also confirm the presence of a structural break into periods before and after the initiation of controlled float regime. Furthermore, indications of casual effects are encountered in cases of other macroeconomic variables, such as German exports, supporting the reasoning in earlier works relating to this topic. JEL Classification E50, E51, E58, C51, C53 Keywords ForEx intervention, exports determination factors, foreign reserves, monetary policy Author's e-mail teddy.krejci@gmail.com Supervisor's e-mail boril.sopov@gmail.com
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