Original title: Estimating the Effective Lower Bound for the Czech National Bank's Policy Rate
Translated title: Estimating the Effective Lower Bound for the Czech National Bank's Policy Rate
Authors: Kolcunová, Dominika ; Havránek, Tomáš (advisor) ; Dědek, Oldřich (referee)
Document type: Master’s theses
Year: 2017
Language: eng
Abstract: [eng] [cze]
The thesis focuses on the estimation of the effective lower bound for the Czech National Bank's policy rate. It is the first attempt of this kind in the Czech context and also one of few in the international scale. The effective lower bound is determined by the value below which holding and using cash would be more favourable than depositing money in a bank account with a negative rate. This bound may be approximated based on costs of storage, insurance and transportation of cash and also based on the loss of convenience associated with cashless payments. We estimate that costs of the former lie in the interval from 0.2% to 0.6%. The latter, costs of loss of convenience, are relatively high in the Czech market as they attain around 1%. The estimate based on interest charges which present a direct cost and decrease in the bank profitability asserts slightly lower values, in particular with respect to a high share of deposits and repo operations at the CNB. Altogether we get a value below -1%, in the interval (-1.5%, -1.0%), under shorter term duration possibly lower, in the interval (-2.0%, -1.0%). The second part of the thesis offers modelling of transmission of interest rates. The results state that under the assumption of the average transmission over the past years it would be necessary to decrease... Práca sa zaoberá odhadom efektívnej dolnej hranice pre úrokové sadzby Českej národnej banky. Ponúka prvý odhad tohto druhu v českom kontexte a i jeden z mála dostupných v medzinárodnom kontexte. Efektívna dolná hranica je determinovaná hodnotou, pod ktorou by bola držba a používanie hotovosti výhodnejšie ako uloženie peňazí na bankovom účte s negatívnym úrokom. Túto hranicu je možné približne odhadnúť na základe nákladov na uskladnenie, poistenie a transport hotovosti a tiež na základe straty pohodl- nosti spojenej s využívaním elektronických platieb. Odhadujeme, že náklady na prvú položku dosahujú 0.2 až 0.6 % ročne. Náklady na stratu pohodlnosti spojenú s bezhotovostnými platbami sú na českom trhu pomerne vysoké, dosahujú až 1 %. Odhad za použitia úrokových platieb, ktoré predstavujú priamy náklad a zníženie profitability bánk, naznačuje mierne nižšie hodnoty, predovšetkým vzhľadom na vysoký objem depozít a repo operácií u ČNB. Celkovo sa dostávame k hodnote pod -1 %, k intervalu (-1.5 %, -1.0 %), pri krátkodobejšom trvaní i k (-2.0 %, -1.0 %). Druhá časť práce ponúka modelovanie menovej transmisie úrokových sadzieb. Výsledkom je tvrdenie, že za predpokladu priemernej transmisie v sledovanom období by za...

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/91107

Permalink: http://www.nusl.cz/ntk/nusl-367634


The record appears in these collections:
Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses