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Real-time versus revised data in estimating the Taylor rule for the Czech Republic
Beňo, David ; Potužák, Pavel (advisor) ; Slaný, Martin (referee)
The main task of this paper is to analyze the differences between estimates of Taylor rule in real-time and with revised data. Estimates of the Taylor rule for the Czech Republic are compared. The source of data is OECD real-time database. The analysis shows that the estimates in real-time and ex-post vary significantly. The average deviation is equal to 0.9 percentage points. The main cause is the estimation of the output gap in real-time. Parameters of estimated reaction function also depend on the type of used data. The rule of inflation targeting or natural growth is more suitable for the use in real-time.
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The European Central Bank: the asymmetric effects of monetary policy
Kleštinec, Ivan ; Mandel, Martin (advisor) ; Houštecký, Martin (referee)
The ECB was established during the third phase of the economic and monetary union and its activities launched on 1. 7. 1998. It has become a new independent institution whose primary task became the conduct of monetary policy for countries that have accepted the euro currency. This master thesis examines the impact of monetary policy of the euro area and its asymmetric effects. ECB affects individual national economies using its strategies and instruments. Using especially interest rates makes monetary policy expansive or restrictive. For every country, belonging to euro area, has this policy different implications. Although ECB attempts to implement monetary policy for every country equally, for some countries has a monetary policy asymmetric effect. Using the Taylor rule of monetary policy, we can find contradictory effects of monetary policy.
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Comparison of monetary policies of the ECB and selected European national banks in the crisis period
Niederle, Tomáš
This diploma thesis investigates the impact of monetary policy upon economic performance in the Eurozone, the Czech Republic and Poland. The research focuses on differences in sensitivity of output on money supply in form of monetary aggre-gates M1 and broader M2 and Real Interest Rate calculated from the EURIBOR, PRIBOR and WIBOR. The sensitivity is examined using Granger causality. The the-sis proves whether money supply and real interest rate granger causes real output in the Eurozone, the Czech Republic and Poland. Also monetary policies of the se-lected central banks are described and compared using Taylor monetary rule.
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Aplikace Taylorova pravidla v procesu manažerského rozhodování
Müllner, Jan
This work deals with the possibility of using the Taylors rule in the estimation of the development of short-term interest rates in the market. Using the reaction function of CNB made recommendations for businesses in the Czech Republic who can help achieve savings in the use of foreign sources of capital. Savings in the debts is achieved through the choice of different lengths fixed interest rate on the loan, since the knowledge and preferences of the monetary authority's reaction function allows to predict the development of short-term interest rates.
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Comparison of Monetary Policy in Case of FED and ECB
Ptáčník, Václav
The purpose of the thesis is to assess the impact of monetary policy upon economic performance in the euro area and The United States. The research focuses on differences in responsiveness of real output of economies on money supply and real interest Rate. The responsiveness is examined using Granger causality. The thesis proves whether money supply and real interest rate granger causes real output in the United States and euro area. Also monetary policy itself is described and compared using structural breaks in time series, Taylor rule, Galí rule and Mankiw rule. The empirical results are compared to each other and indicate that there has been differences in performing monetary policy in the United States and euro area; nevertheless responsiveness on monetary policy is in both economies very similar.
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Macroeconometric Model of Monetary Policy
Čížek, Ondřej ; Pánková, Václava (advisor) ; Kodera, Jan (referee) ; Lukáš, Ladislav (referee)
First of all, general principals of contemporary macroeconometric models are described in this dissertation together with a brief sketch of alternative approaches. Consequently, the macroeconomic model of a monetary policy is formulated in order to describe fundamental relationships between real and nominal economy. The model originated from a linear one by making some of the parameters endogenous. Despite this nonlinearity, I expressed my model in a state space form with time-varying coefficients, which can be solved by a standard Kalman filter. Using outcomes of this algorithm, likelihood function was then calculated and maximized in order to obtain estimates of the parameters. The theory of identifiability of a parametric structure is also described. Finally, the presented theory is applied on the formulated model of the euro area. In this model, the European Central Bank was assumed to behave according to the Taylor rule. The econometric estimation, however, showed that this common assumption in macroeconomic modeling is not adequate in this case. The results from econometric estimation and analysis of identifiability also indicated that the interest rate policy of the European Central Bank has only a very limited effect on real economic activity of the European Union. Both results are influential, as monetary policy in the last two decades has been modeled as interest rate policy with the Taylor rule in most macroeconometric models.
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Česká swapová křivka, ekonomické fundamenty a finanční trhy
Pohl, Martin ; Málek, Jiří (advisor) ; Kodera, Jan (referee) ; Lukáš, Ladislav (referee)
We focus on Czech swap market in a broader context of economic and financial development and we provide extensive empirical evidence that swaps have many features of a "risk-free" asset. They are traded with sufficient liquidity and low transaction costs that make them attractive for investors. Swap curve dynamics may be decomposed into level, slope and curvature parameters known from bond markets.Level and slope parameter may be interpreted by Taylor rule like functions in terms of output gap and inflation. Level reflects mainly inflation expectations and its sensitivity to output gap is small. Slope parameter is highly sensitive to business cycle fluctuations and inflation deviation from CNB's target. Domestic monetary policy remains an important determinant of swap curve parameters with gradual market reaction. Czech swap rates are closely connected to Euro swap rates. We found level factors to be cointegrated and also slope and curvature exhibit strong sensitivity to Euro rates. Financial variables don't seem to have large impact on swap rates with the exemption of global equity markets, where we found positive correlation between level and SP500 returns. In contrast, Czech government bonds have many features historically connected to corporate bonds such as positive correlation with risky assets and business cycle fluctuations. Government bonds also showed large volatility and rising risk premia in the 2008/2009 financial crisis. Finally, we estimated forward premium and we found large and rising premium and limited support for expectation theory.
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Consequences application uniform policy of ECB on euro area countries
Skrbek, Ondřej ; Babin, Jan (advisor) ; Mirvald, Michal (referee)
The main goal of the bachelory thesis is to verify impact of common monetary policy of European central bank with motto "one size fits all" on the credit growth in the Euro area. It means uniform settings of interest rate EONIA, which values I compare with country-specific policy rate based on Taylor rule. Panel data are included in the range of 2005-2011 for 4 countries with different economic maturity: France, Germany, Ireland and Spain. Using the OLS estimation I can confirm negative effect. It means, that lower interest rate, then the country-specific one, is pressing on the credit growth of countries in euro area and thereby negatively affects the economy of the state.
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Monetary policy of the Federal Reserve System during financial and economic crisis
Babušák, Martin ; Mandel, Martin (advisor) ; Kodera, Jan (referee)
The aim of the thesis is to evaluate the effectiveness of measures taken by the Federal Reserve System in response to the 2007 financial crisis that was later joined by economic crisis. It analyzes effects caused by modification of existing programs, creation of new credit programs, support of systemically important institutions by the Fed and programs of outright purchase of selected assets on the open market. The thesis also examines the behavior of the Fed in setting of a target interest rate in longer term, from 2000 to 2011. The thesis verifies the validity of the Taylor rule of monetary policy by using regression analysis. Appendix at the end of the thesis emphasizes the importance of the U.S. dollar in the current international monetary system and the associated implications for the external stability of the U.S. economy.
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