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Helicopter Money and the Propensity to Consume Transfers: The Case of Czech Republic
Doležal, Jakub ; Havránek, Tomáš (advisor) ; Hanzlík, Petr (referee)
Jakub Doležal1 1 ) Institute of Economic Studies, Faculty of Social Sciences, Charles University 50735965@fsv.cuni.cz The thesis discusses the topic of helicopter money - unconventional mon- etary policy aimed at increasing sub-target inflation and reviving GDP growth when the orthodox monetary policy is constrained by the zero lower bound (ZLB) on policy rates. From the perspective of the households, helicopter money transfer is a windfall gain. Part of the transfer - marginal propensity to con- sume (MPC) - is within weeks turned into consumption. MPC directly affects the outcomes of the policy, it is therefore advisable to predict it. The first part of the thesis describes unconventional monetary with special emphasis on helicopter money, quantitative easing and debt monetization. The second part is then devoted to identifying country-level drivers of MPC and subsequently predicting average MPC across Czech households using meta-analytic approach. While controlling for publication bias and performing variables selection through Least Absolute Shrinkage and Selection Operator (lasso) the model predicts av- erage marginal propensity to consume the transfer ranging from 0.46 to 0.51 during the years of sub-target inflation and under ZLB on policy rates within the Czech economy.
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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.
Fulltext:  PDF; PDF
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Independence and Transmission of Monetary Policy in Small Open Economies: The Case of Canada and the Czech Republic
Budinský, Jan ; Havránek, Tomáš (advisor) ; Buliskeria, Nino (referee)
The question of whether a small open economy (SOE) with highly integrated financial markets can shield itself from the influence of foreign monetary policy and preserve its monetary independence has been the subject of extensive research over the last decades. The growing integration of world economies owing to globalization, the impacts of recent global pandemic on them leading to the use of unconventional monetary policies, and the consequent high levels of inflation across the globe have highlighted the importance of further study of this problematic. This thesis focuses on two small open economies from different currency areas, Canada and the Czech Republic, and evaluates the monetary policies of their central banks, concentrating primarily on their independence, secondarily on the transmission mechanism of the respective policies, and also on their foreign exchange reserves. A comparative analysis of these two countries and their monetary policies on such scale and complexity has not yet been made before. The results of cointegration testing of vector autoregression models consisting of three-month interbank interest rates representing the monetary policies of the countries under investigation revealed that both Canada and the Czech Republic exhibited a considerable degree of monetary...
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Stock Price Bubbles: Identification and the Effects of Monetary Policy
Koza, Oldřich ; Matějů, Jakub (advisor) ; Ryska, Pavel (referee)
This thesis studies bubbles in the U.S. stock market and how they are influenced by monetary policy pursued by the FED. Using Kalman filtering, the log-real price of S&P 500 is decomposed into a market-fundamentals component and a bubble component. The market-fundamentals component depends on the expected future dividends and the required rate of return, while the bubble component is treated as an unobserved state vector in the state-space model. The results suggest that, mainly in recent decades, the bubble has accounted for a substantial portion of S&P 500 price dynamics and might have played a significant role during major bull and bear markets. The innovation of this thesis is that it goes one step further and investigates the effects of monetary policy on both estimated components of S&P 500. For this purpose, the block- restriction VAR model is employed. The findings indicate that the decreasing interest rates have a significant short-term positive effect on the market-fundamentals component but not on the bubble. On the other hand, quantitative easing seems to have a positive effect on the bubble but not on the market-fundamentals component. Finally, the results suggest that the FED has not been successful at distinguishing between stock price movements due to fundamentals or the price misalignment.
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Two Essays on Inflation Targeting
Matějů, Jakub ; Horváth, Roman (advisor) ; Holub, Tomáš (referee)
Title: Two Essays on Inflation Targeting Author: Mgr. Jakub Matějů Department: Institute of Economic Studies Supervisor: Roman Horváth, PhD. Abstract: The thesis consists of two essays on inflation targeting. The first essay examines how do monetary authorities set their inflation targets. Survey of central banks' communication regarding the target is presented, theoretical model is developed and finally empirical analysis is conducted on a panel of inflation targeting countries. This pioneering analysis of the topic leads us to conclusion that inflation targets are influenced by more variables than central banks admit. In addition to past and foreign inflation, inflation variability and GDP growth we find significant impact of central bank credibility and other institutional factors. The short second essay surveys literature assessing performance of inflation targeting and outlines perspectives of inflation targeting as a monetary policy framework. The conclusion is that if inflation targeting central banks stick to their best practice in transparency and communication and remain open to innovations, inflation targeting will have a good chance to score well even in the periods of turmoil.
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