|
|
Evaluating the Effects of Quantitative Easing in the UK Using the Synthetic Control Method
Molnár, Vojtěch ; Havránek, Tomáš (advisor) ; Malovaná, Simona (referee)
The thesis deals with quantitative easing (QE)-unconventional monetary policy, which was conducted by several central banks in the aftermath of recent financial crisis. Its goal is to boost the economy and to reach infla- tion target with key interest rates being already close to zero. The United Kingdom was one of the countries involved: Bank of England was conducting the policy in 2009-2012. The first part of the thesis focuses on quantitative easing in more detail; the policy is described in general, but special emphasis is put on Bank of England. The second part uses synthetic control method to estimate effect of the policy on real GDP and inflation of the United King- dom. The method does not lead to construction of appropriate control unit for GDP of the UK under unusual circumstances of the financial crisis. Pos- itive effect of quantitative easing on inflation is found, but its magnitude is surrounded by large uncertainty. 1
|
|
|
The Basic Income concept in the perspective of Agent-Based modelling
Macháček, Vít ; Janský, Petr (advisor) ; Malovaná, Simona (referee)
The Basic Income concept in the perspective of Agent-Based modelling Abstract: The thesis study the relationship between the basic income introduction and the price level. The basic income would replace the existing social security. The resulting redistribution induce changes in the aggregate demand through the concave consumption function. The aggregate demand in turn affect the price creation mechanism. Because the price level is a result of activity of many different agents with private motivation and information, the work used a simple macroeconomic agent-based model to isolate the relationship. The simulation however did not succeed in isolating the possible link between the price level and the basic income introduction.
|
|
|
The Financial Secrecy Index: An Information Theory Approach
Galuszka, Lukáš ; Janský, Petr (advisor) ; Malovaná, Simona (referee)
The objective of this thesis is to evaluate alternative weighting systems to determine if they have the potential to improve the current weighting system of the Financial Secrecy Index (FSI). The FSI, a measure of countries' contributions to global financial secrecy, currently weights its 15 qualitative components equally. A web-based opinion survey conducted in January and February 2016 among academics, journalists, experts and other persons familiar with FSI serves as the baseline for assessing new weights. The new weights derived from the survey results are not significantly different from the equal weights in 14 out of 15 components. The survey results suggest that widely held opinion is consistent with equal weight assumptions. Statistical model selection criteria from information theory that penalize model complexity prefer in majority of cases the simple model over the more complex one even though more complex model provides better goodness-of-fit statistics. Alternative methods and analysis such as Principal Components Analysis is performed and discussed. The present work finds that, statistically, the weights should not diverge from the equal weighting system in use currently. Powered by TCPDF (www.tcpdf.org)
|
|
|
Impacts of the Euro Adoption in the Czech Republic
Svačina, David ; Maršál, Aleš (advisor) ; Malovaná, Simona (referee)
DSGE models are as structural models capable of estimating what would have happened if some part of economy or shocks to it had been different. We consider three such differences in the recent Czech history: no financial shocks during the crisis in 2008-2009; eurozone membership during the crisis in 2008-2009; and no foreign exchange interventions of the Czech National Bank in November 2013. For this purpose, we employ a small open economy DSGE model with financial frictions and estimate it with Bayesian inference. Our results show that impact of financial shocks on GDP growth was negligible. Further, eurozone membership would have made crisis more severe; GDP growth in 2009Q1 would have been -6% instead of -3% and economy would have been in deflation for the five consecutive periods. Difference is explained by strong depreciation of exchange rate during crisis that would not have occurred with the fixed exchange rate. Lastly, the Czech National Banks's foreign exchange interventions increased GDP growth by as much as 0.8 percentage point and saved economy from deflation in all following quarters. They worked through depreciation of exchange rate and consequent improvement in trade balance and increase in price of imported goods. Powered by TCPDF (www.tcpdf.org)
|
|
|
Macroprudential regulation of the housing market
Petrouš, Michal ; Hlaváček, Michal (advisor) ; Malovaná, Simona (referee)
House price developments have a large impact on the macroeconomic stability, which has proven in the recent global financial and economic crisis triggered by a house price boom and bust. The aim of this thesis is to assess the effectiveness of macroprudential regulation aiming at the contract between lenders and borrowers in mitigating housing price and associated credit cycle. To assess effectiveness the macroprudential regulation is analyzed in ten European countries. The regulation in individual countries is subsequently compared. The comparison shows that countries with high proportions of foreign currency denominated debt use macroprudential measures to mitigate foreign exchange risk. Furthermore, the immediate influence of regulation on housing credit is relatively high. However, it diminishes with time.
|
|
| |
|
|
Equilibrium in the jungle
Havlena, Jiří ; Gregor, Martin (advisor) ; Malovaná, Simona (referee)
This bachelor thesis firstly introduces the jungle model, in which economic transactions are driven by coercion. The jungle is closely related to the model of exchange economy. The differences between both setups are discussed and consumption sets are introduced as additional constraint of agents in exchange economy. Following is the essential part of the thesis, discussing effects of these sets on welfare properties and competitive equilibria. The results suggest that consumption sets extend the set of Pareto efficient allocations in exchange economy. Analysis of competitive equilibria suggests interesting results about existence of non- efficient competitive equilibrium allocations.
|
|
|
The Effectiveness of Unconventional Monetary Policy Tools at the Zero Lower Bound: A DSGE Approach
Malovaná, Simona ; Holub, Tomáš (advisor) ; Franče, Václav (referee)
The central bank is not able to further ease monetary conditions once it ex- hausts the space for managing short-term policy rate. Then it has to turn its attention to unconventional measures. The thesis provides a discussion about the suitability of different unconventional policy tools in the Czech situation while the foreign exchange (FX) interventions have proven to be the most appropriate choice. A New Keynesian small open economy DSGE model estimated for the Czech Republic is enhanced to model the FX interventions and to compare dif- ferent monetary policy rules at the zero lower bound (ZLB). The thesis provides three main findings. First, the volatility of the real and nominal macroeconomic variables is magnified in the response to the domestic demand shock, the for- eign financial shock and the foreign inflation shock. Second, the volatility of prices decreases significantly if the central bank adopts price-level or exchange rate targeting rule. Third, intervening to fix the nominal exchange rate on some particular target or to correct a misalignment of the real exchange rate from its fundamentals serves as a good stabilizer of prices while intervening to smooth the nominal exchange rate movements increases the overall macroeconomic volatility at the ZLB. 1
|
|
|
The Effectiveness of Unconventional Monetary Policy Tools at the Zero Lower Bound: A DSGE Approach
Malovaná, Simona ; Holub, Tomáš (advisor) ; Maršál, Aleš (referee)
The central bank is not able to further ease monetary conditions once it ex- hausts the space for managing short-term policy rate. Then it has to turn its attention to unconventional measures. The thesis provides a discussion about the suitability of different unconventional policy tools in the Czech situation while the foreign exchange (FX) interventions have proven to be the most appropriate choice. A New Keynesian small open economy DSGE model estimated for the Czech Republic is enhanced to model the FX interventions and to compare dif- ferent monetary policy rules at the zero lower bound (ZLB). The thesis provides three main findings. First, the volatility of the real and nominal macroeconomic variables is magnified in the response to the domestic demand shock, the for- eign financial shock and the foreign inflation shock. Second, the volatility of prices decreases significantly if the central bank adopts price-level or exchange rate targeting rule. Third, intervening to fix the nominal exchange rate on some particular target or to correct a misalignment of the real exchange rate from its fundamentals serves as a good stabilizer of prices while intervening to smooth the nominal exchange rate movements increases the overall macroeconomic volatility at the ZLB. 1
|
|
|
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.
Fulltext:  PDF
|
guest ::
