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Central Bank Monitoring - September 2017
Česká národní banka
Most of the central banks under review, including the ECB, are keeping their interest rates at low levels and continuing their unconventional monetary policy programmes. The two exceptions which have already raised interest rates are to be found in North America. The first is the US Fed, which as expected raised its key rate for the second time this year and announced a more exact procedure for reducing its balance sheet. The second is the Bank of Canada, which has also increased its rates twice. With the exception of Switzerland, inflation is above 1% in all the monitored economies, but is still slightly below the inflation target in most cases. Spotlight focuses this time on the problems of the South African economy and the situation of its central bank. In our Selected speech, ECB Executive Board Member Yves Mersch analyses the challenges and opportunities to central banks arising from the current rapid technological development.
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Vplyv vekovej štruktúry obyvateľstva na spotrebné výdaje v krajinách V4
Snopková, Monika
The bachelor thesis is focused on the assessment of the impact of population age structure on household consumption expenditure. According to Modigliani's economic theory and his co-workers, this influence could be significant. Consumer spending is affected by many more indicators that have a significant impact on it. One of the indicators is the economic level in the form of GDP. Other indicators representing the economic area that could affect consumer spending are interest rate, purchasing power parity and unemployment. From the resulting models, we can see that consumption patterns have a certain impact on the age structure. Modigliani's theory has not been proven to be true only in the Slovak Republic; other countries have shown the influence of age structure.
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Dopad úrokových měr na domácnosti v České republice
Adámková, Zuzana
This bachelor thesis deals with loans for financing housing. Its aim is to evaluate the impact of interest rate changes on the financial situation of the Czech household. Literary research focuses on defining basic terms of banking, loans and mortgages. The practical parts are devoted to describing the current macroeconomic situation of the Czech Republic and explaining its development. Thereafter, model examples will be created to see the situation with a positive and negative change in the interest rate. The results will be compared in the discussion with the results of the works on a similar topic.
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Vliv monetární politiky na investiční aktivitu firem v zemích V4
Růžičková, Elena
Růžičková, E. The influence of monetary policy on firm investment activity in countries of V4. Diploma thesis. Brno: Mendel University, 2019. The aim of this thesis is to determine the influence of monetary policy on firm investment activity in the automotive industry in countries of V4, together with the further verification of the influence of other company-specific characteristics. The analysis uses the panel data of microeconomic character, which was drawn from the Amadeus database in the period from 2006 to 2015. As an independent variable representing the influence of monetary policy, a 12-month interest rate PRIBOR, BRIBOR, EURIBOR, BUBOR and WIBOR, representing each of states, was chosen. Other independent variables were selected as company-specific characteristics. Net fixed assets have been chosen as a dependent variable, which can be used to express investment in fixed assets. The models for selected countries will verify the influence of monetary policy on the development of investment activity in the selected industry.
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Aktivita a pasivita centrálních bank v průběhu krizí
Muzikář, Jakub
Bachelor thesis aims at function of central banks while applying interest rates and characterizing active and passive central bank. Thesis examines reaction function of central banks on inflation and output gap. Central banks are in this thesis de-scribed by monetary objectives in historical perspective, monetary instruments with which central banks are trying to meet monetary targets and central banking models. Thesis also uses Taylor rule to examine relation between character of monetary policy and macroeconomic variables. Based on results provided by analysis central banks are differentiated to active and passive ones.
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Global Economic Outlook - September 2017
Česká národní banka
The September issue of Global Economic Outlook presents the regular monthly overview of recent and expected developments in selected territories, focusing on key economic variables: inflation, GDP growth, leading indicators, interest rates, exchange rates and commodity prices. In this issue, we also look at the real exchange rate phenomenon from the perspective of what it tells us about EU countries. The real exchange rate reflects movements in both the nominal exchange rate and relative price levels. This means it can be used, for example, to assess a country’s convergence efforts (towards the core euro area countries), to discuss the central bank’s effect on the distribution of real appreciation (between the nominal exchange rate and the inflation differential channels) and to track the external competitiveness of an EU economy, and hence also the euro area. This is the line followed by our article, which examines the period from the establishment of the euro area in 1999 to the present.
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International Spillovers of (Un)Conventional Monetary Policy: The Effect of the ECB and US Fed on Non-Euro EU Countries
Hájek, Jan ; Horváth, Roman
We estimate a global vector autoregression model to examine the effects of euro area and US monetary policy stances, together with the effect of euro area consumer prices, on economic activity and prices in non-euro EU countries using monthly data from 2001-2016. Along with some standard macroeconomic variables, our model contains measures of the shadow monetary policy rate to address the zero lower bound and the implementation of unconventional monetary policy by the European Central Bank and US Federal Reserve. We find that these monetary shocks have the expected qualitative effects but their magnitude differs across countries, with Southeastern EU economies being less affected than their peers in Central Europe. Euro area monetary shocks have greater effects than those that emanate from the US. We also find certain evidence that the effects of unconventional monetary policy measures are weaker than those of conventional measures. The spillovers of euro area price shocks to non-euro EU countries are limited, suggesting that the law of one price materializes slowly.
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Global Economic Outlook - August 2017
Česká národní banka
The August issue of Global Economic Outlook presents the regular monthly overview of recent and expected developments in selected territories, focusing on key economic variables: inflation, GDP growth, leading indicators, interest rates, exchange rates and commodity prices. In this issue, we continue our summer mini-series on the economic impacts of Brexit on the United Kingdom. In the July issue, we focused on the short-term effects, whereas this issue summarises the conclusions of the most important studies analysing Brexit from the longer-term perspective. These studies concur that the UK economy will lose out by leaving the EU, a prediction that is gradually being confirmed by actual economic developments. However, it is still difficult to estimate the real extent of the economic impacts of Brexit, as it will depend primarily on the terms negotiated between the UK and the EU. In our analysis, we therefore present the main possible scenarios quantifying how much the UK will pay for Brexit in terms of loss of GDP.
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The transmission mechanism of the monetary policy impact on the Czech banking sector
Bohovicová, Petra ; Brůna, Karel (advisor) ; Jakl, Jakub (referee)
This thesis analyzes the impact of the monetary policy of the Czech Republic on the Czech banking sector. It explains the monetary transmission mechanism in an inflation targeting regime and its channels: interest rates channel, asset price channel, exchange rate channel and credit channel. The aim of the thesis is to introduce and analyze channels of the Czech transmission mechanism by Correlation and Graphical Analysis of chosen time series and using Linear Regression Model. The analyses are calculated in MS Excel and Gretl.
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Updating the Ultimate Forward Rate over Time: a Possible Approach
Žigraiová, Diana ; Jakubík, Petr
This study proposes a potential methodological approach to be used by regulators when updating the Ultimate Forward Rate (UFR) for the evaluation of insurers’ liabilities beyond the last liquid point observable in the market. Our approach is based on the optimisation of two contradictory aspects – stability and accuracy implied by economic fundamentals. We use U.S. Treasury term structure data over the period 1985-2015 to calibrate an algorithm that dynamically revises the UFR based on the distance between the value implied by the long-term growth of economic fundamentals in a given year and the regulatory value of the UFR valid in the prior year. We employ both the Nelson-Siegel and Svensson models to extrapolate yields over maturities of 21-30 years employing the selected value of the UFR and compare them with the observed yields using the mean square error statistic. Furthermore, we optimise the parameters of the proposed UFR formula by minimising the defined loss function capturing both mentioned factors.
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