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Investigation of the dynamics between monetary and macroprudential policies
Kireichenko, Kateryna ; Jašová, Martina (advisor) ; Jakubík, Petr (referee)
This thesis studies the interaction between monetary and macroprudential policy using a DSGE model with real and financial frictions under government and financial shock scenarios. Countercyclical capital requirements are used as a macroprudential policy tool combined with a Taylor rule for monetary policy. In the case of the government shock, our findings indicate that policies' coordination reduces the volatility of the output vis-à-vis a "monetary policy only" regime. Analysis of financial shocks indicates that monetary policy alone can suffice to ensure financial stability. Lastly, welfare analysis suggests there is no optimal policy combination for all agents and highlights a redistributive effect of both shocks, showing that policy that is beneficial for one group of agents can decrease welfare for another. JEL Classification E44, E52, E61 Keywords monetary policy, macroprudential policy, capital requirements, financial stability Author's e-mail kateryna.kireichenko@gmail.com Supervisor's e-mail martina.jasova@fsv.cuni.cz
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Four Essays on Financial Stability
Jakubík, Petr ; Dědek, Oldřich (advisor) ; Mejstřík, Michal (referee) ; Kodera, Jan (referee) ; Peltonen, Tuomas (referee)
Recent episodes of financial instability have motivated researchers as well as policy makers to intensify research on financial stability. This thesis contributes to current research and policy discussion by elaborating and empirically testing methodologies, which can be used to measure financial sector vulnerabilities and identify potential risks for financial stability. It further focuses on the link between real and the financial sector as well as possible implications of household financial distress on the aggregate economy. Together with the proposed framework we provide the survey of the current literature on these topics as well as the empirical results. We argue in favour of stress testing methodologies covering the key risks on banks' balance sheets. These frameworks can also be used for emerging markets where data availability is typically limited. It is shown that due to high volatility of credit growth in emerging economies, the static approach assuming constant balance sheet items is not very appropriate. Furthermore, the feedback effect between the financial sector and the real economy might play an important role under certain assumptions, and therefore it should be taken into account by policy makers. This effect can also emerge in the real sector itself as potential instability can...
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Financial cycle
Novotný, Tomáš ; Blahová, Naďa (advisor) ; Gevorgyan, Kristine (referee)
Diploma thesis is focused on the issue of financial cycle. It has theoretical character and it is based on foreign sources. Diploma thesis describes the definition of financial cycle, its interactions with business cycle and moreover it explores sychronization of cycles. Furthermore financial cycle indicators and measures are analyzed. The reactions of macroprudential, fiscal and monetary policy are also discussed in the thesis. In particular, the attention is drawn to theoretical view on countercyclical buffer. The last part is devoted to the setting of countercyclical buffer in chosen european countries.
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Analysis of the approaches of Central and Eastern European countries towards their membership in the Banking union
Samuelis, Tomáš ; Dvořák, Petr (advisor) ; Fleischmann, Luboš (referee)
The goal of this thesis is to analyze the approaches of countries in Central and Eastern European region towards their membership in the Banking Union. The selected topic has been investigated based on structural characteristics of the banking sectors of the impacted countries. The comparison of these characteristics resulted in identification of inconsistencies between the 2 standpoints (Opt-in and Opt-out). The thesis monitors the motivation of banks in choosing or changing the legal form of 'their' banks in host markets. The work identifies areas in which the host government can act to prevent banks from converting into branches, thus retaining the regulatory powers in local authorities. The thesis in the first 2 chapters maps the first and the second pillar of the Banking Union, Single Supervisory Mechanism and the Single Resolution Mechanism respectively. Furthermore, it summarizes the results of the European Central Bank in carrying out the Comprehensive Assessment exercise.
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Monetary Policy and Macroprudential Policy: Rivals or Teammates?
Malovaná, Simona ; Frait, Jan
This paper sheds some light on situations in which monetary and macroprudential policies may interact (and potentially get into conflict) and contributes to the discussion about the coordination of those policies. Using data for the Czech Republic and five euro area countries we show that monetary tightening has a negative impact on the credit-to-GDP ratio and the non-risk-weighted bank capital ratio (i.e. a positive impact on bank leverage), 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. On the other hand, the effect of the higher bank capital ratio is associated with some degree of uncertainty. For these and other reasons, coordination of the two policies is necessary to avoid an undesirable policy mix preventing effective achievement of the main objectives in the two policy areas.
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Analysis of Single Resolution Mechanism
Kardaczová, Karolína ; Blahová, Naděžda (advisor) ; Marková, Jana (referee)
The final thesis follows the effort of the European Union to transfer responsibility for issues in the banking sector from taxpayers to its shareholders and creditors. It adopts many new tools and measures. The first part of the thesis is devoted to the banking union project, which unifies the supervision and procedures for solving the crisis at the European level. Emphasis is placed on the newly adopted Single resolution mechanism. Since the adopted legislation does not apply exclusively to the Eurozone countries the second part of the thesis analyses the implementation of the BRRD into Czech law, and the related amendments concerning the Czech banking sector. The aim of the thesis is to analyse the crisis resolving procedure, which is specified in the third chapter on the example of a fictitious bank. The example monitors tools and measures that can be used in various life stages of a bank. It is mainly based on the rules laid down in BRRD and the Czech legislation ZOPRK.
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Application of macroprudential policy in the US
Husarčík, Marek ; Blahová, Naděžda (advisor) ; Pour, Jiří (referee)
The master thesis deals with macroprudential policy and its application in the US. The thesis is mainly focused on the large reform of the financial market in the US known as Dodd-Frank Wall Street Reform and Consumer Protection Act. The main objective of the thesis is to analyse the impact of this act on the financial market in the US. The thesis is divided into four chapters, which are logically connected. The first chapter describes the institutional structure of the regulation and supervision over the financial market in the US, with the emphasis on the organisational structure of FED. The second chapter deals with macroprudential policy from the theoretical point of view with the focus on the tools of the policy and its interaction with other policies. It also covers the incentives which lead into putting this policy into practice. The third chapter focuses on the causes of the financial crisis and particularly on the response to the crisis in the form of Dodd-Frank Act. The final chapter analyses the impact of particular measures contained in Dodd-Frank Act on the US financial market. Analysing this the thesis concludes whether these measure were successful from the perspective of objectives that Dodd-Frank Act wanted to meet.
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Bank stress testing
Vorlíček, Jaroslav ; Blahová, Naděžda (advisor) ; Brada, Jaroslav (referee)
This thesis deals with stress testing of the banking sector. Stress tests are a set of analytical tools used to test the resilience and financial stability of the banking sector. At the beginning of the work financial stability and systemic risk impact not only in the form of sys-temically important financial institutions are discussed. Followed by a chapter on stress tests, which describes historic development of stress testing approaches to testing of individual banking risks and their implementation in the form of stress testing. Stress testing methodo-logy is described primarily from the perspective of the Czech National Bank, the importance of banking regulation and supervision in Basel III is also presented. In the final chapter of the thesis there are commented results of Czech National Bank's stress tests, and EU wide stress tests 2014, launched in cooperation with European Banking Authority, European Central Bank and the European Systemic Risk Board.
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The Interaction and Compatibility of Monetary and Macroprudential Policy in the Czech Republic
Pfeifer, Lukáš ; Ježek, Tomáš (advisor) ; Mandel, Martin (referee) ; Czesaný, Slavoj (referee)
The thesis deals with the interaction of monetary and macroprudential policy, or with the compatibility of the objectives of these policies in the Czech Republic. The main attention is given to the use of interest rate instruments for the purpose of achieving financial stability during the accumulation phase of cyclical dimension of systemic risk. For this purpose the crucial item is the relationship of financial and price stability in the economy. On the Czech economy data is therefore tested the relationship between credit activity and asset prices, to be subsequently quantified the relationship between the prices of selected assets and consumer prices. The model results open the door to greater use of industrial producer price index for the coordination of monetary and macroprudential policy. The thesis for the same reason also recommends continuing research into the development of the general price level during the financial cycle.
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