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Two essays on the modeling of monetary policy transmission mechanism
Rusnák, Marek ; Svoboda, Svatopluk (referee) ; Horváth, Roman (advisor)
In first essay, we investigate the evolution of monetary policy transmission mechanism in the Czech Republic over 1993:1 - 2009:9 period by employing time varying parameters Bayesian vector autoregression model with stochastic volatility. We document relative stability of monetary policy transmission mechanism over time. However, there is some evidence that the transmission to prices was weakened temporarily during the climax of the financial crisis, but appear to be back to its pre-crisis strength already in the second half of 2009. Further, we augment the estimated system with a financial variable to investigate the significance of financial shocks for the transmission. The results suggest that financial shocks indeed play relatively important role in explaining the fluctuations of the output and prices. Second essay presents a meta-analysis of the effects of a monetary policy shock on prices. First, we present some summary statistics that document the pervasiveness of the price puzzle, which denotes an increase in the price level following a contractionary monetary policy shock, in the results of empirical studies. Next, using meta-regression methods such as funnel asymmetry test, we find the evidence of publication selection bias that increases with the horizon studied. Finally, we use explanatory...
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External rating and validation
Lapešová, Michaela ; Pečená, Magda (advisor) ; Horváth, Roman (referee)
The growing importance of external rating may draw increased attention to the reliability of credit risk evaluation. The aim of this thesis is to analyze a contemporary external rating position as an instrument for evaluation of a subject's ability to meet its obligations. The study provides theoretical foundations of credit risk modeling as well as empirical application to a collected data set. For the sake of validation of a selected rating system a simple default study is presented on the basis of this data set. Limited information allows just for a brief survey of short rating history in the Czech Republic. The world rating history is comprehensive and it becomes an integral part of clients' creditworthiness assessment within the New Basel Capital Accord. With its growing importance the rating has been recently facing criticism. The thesis focuses mainly on the comments on the cyclical tendencies of rating and provides and empirical analysis using data from Visegrad group countries. Powered by TCPDF (www.tcpdf.org)
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Confidence, economy and the global economic crisis
Fišer, Radovan ; Benáček, Vladimír (referee) ; Horváth, Roman (advisor)
We examine the role of confidence in economic fluctuations. Empirically we examine Granger causality from consumer confidence indicator to growth of economic output in the Czech Republic and the United States. In case of the U.S., we confirmed the causality robustly. In case of the Czech Republic, we found the causality, but not a robust one. Generally, the causality is taken as evidence for macroeconomic models with shocks to consumers's expectations. Recently, these models with unique-equilibrium gain on importance in economic theory. The second focus of this study is the confidence-related part of the financial and economic crisis of late 2000s which made confidence indicators hit record lows. Confidence has been cited as both a source of the crisis and the remedy to the crisis. We analyze such thoughts. One of the main ones is the incorporation of animal spirits into mainstream economomics.
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Interest rate pass-through : Does it change with financial distress? : the Czech experience
Kazaziová, Gledis ; Krištoufek, Ladislav (referee) ; Horváth, Roman (advisor)
The aim of this thesis is to investigate the behavior of the interest rate transmission from money market rates to bank retail rates on the Czech banking market during the period from January 2004 to January 2010, and to detect potential changes occurred as a result of current financial crisis. Using Ordinary Least Squares, Recursive Coefficients estimates and Impulse Response analysis we explore that bank retail rates reflect Pribor rate changes more strongly than changes in Euribor rates. We reveal that interest rate pass-through is rather incomplete and sluggish in the majority of cases and the adjustment level decreases noticeably during the period influenced by the financial crises.
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Forecasting the Czech exchange rate : a VAR analysis
Průša, Pavel ; Mertlík, Pavel (referee) ; Horváth, Roman (advisor)
This thesis provides out-of-sample forecast of Czech Crown to Euro exchange rate using the vector autoregressive model. We select inflation, output, unemployment and interest rate as the fundamental economic variables interacting with the exchange rate in the ten-year period from 1999 through 2008. As our analysis concentrates on the short-term horizon, we measure the performance of our estimates for 2009 against the benchmark of the naive random walk approach. Surprisingly, for our data the VAR model outperforms the normally distributed white noise significantly. We conclude that the main reason is the systematic and steady appreciation of the Czech Crown during the observed period, which cannot be captured by random walk. This shows that econometric approximation of exchange rate fluctuations can be meaningful even in the short-term horizons.
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Influence of the single currency on the trading volumes of EMU members and the Czech Republic
Šopov, Daniel ; Horváth, Roman (referee) ; Dědek, Oldřich (advisor)
In this thesis, we focus on the impact of the single European currency on the trade volumes of EMU countries and the Czech Republic. We built on Rose's gravity model, which explains to us, although not very accurately, possible impact of the single European currency on the trade volumes. We centre our research on trade among 25 countries, including EU countries, Switzerland, Russia, Ukraine, USA, Canada and Mexico. We use gravity model and do regression, to compare and analyze data for 8 chosen EU countries, including those, that were in EMU and using Euro from the beginning, those that declined Euro and the Czech Republic, which has not adopted Euro yet. The main contribution of this thesis is a prediction of possible impact on trade in the Czech Republic, if we accepted Euro. This prediction will be based on analysis from other countries and its comparison.
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Taylor rules and interest rate setting of the Czech National Bank
Hrachovec, Miloš ; Geršl, Adam (referee) ; Horváth, Roman (advisor)
This paper studies role of the so called Taylor rules in the complex procedure of interest rate setting. The Czech National Bank is described as the monetary authority in the Czech Republic, then optimal monetary policy and form of monetary policy rule is discussed, yielding conditions on the optimal rule. These conditions are then applied to the forward-looking reaction function of the Czech National Bank and the role of this reaction function within the Czech National Bank's monetary policy is addressed. Last section presents empirical estimates of a Taylor-like rule for the Czech National Bank and shows variability of possible utilization for the modified Taylor rule.
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Dendritic cells in health and disease
Horváth, Rudolf ; Špíšek, Radek (advisor) ; Krejsek, Jan (referee) ; Stříž, Ilja (referee)
During the past decades several spectacular finding s have been made in the field of immunology. Elucidating the functions of the antigen presenting cells (APCs) belong to the most important. Dendritic cells (DCs) represent a specific group of APCs with a unique ability to initiate primary immune responses. Despite the fact that, in vivo, they are very rare and difficult to isolate, DCs came very fast into the focus of scientific interests. Development of novel laboratory techniques facilitated a robust expansion of their research. With time it has been proven that DCs play a pivotal role in initiation, maintenance and control of the immune responses. The extraordinary features of DCs were soon investigated in human clinical trials, where DCs have been particularly used as vectors for vaccination protocols, especially in the treatment of tumors. However, DCs capability to polarize the outcome of immune response and the potential to induce or suppress immunity under specific circumstances led to the idea that they might be also used in the treatment of autoimmune and allergic diseases or in transplantation medicine as well. There is a need to stress that most of the knowledge has been obtained from the in vitro generated DCs, but advanced technological methods bring us the opportunity to study DCs directly...
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Inflation Differentials in the European Union: Panel Data Analysis of the Driving Factors for Inflation Differentials in the New Member States
Koprnická, Kamila ; Horváth, Roman (advisor) ; Šmídková, Kateřina (referee)
In this rigorous thesis, we analyse inflation differentials in the EU. The aim of the study is twofold. First, based mainly on literature review, we describe long-term trends and potential causes of inflation differentials in the euro area as well as in the new EU member states. Second, we examine the driving factors for inflation differentials in a panel of the new European Union member states via-à-vis the euro area in 1997-2006. In particular, we use the methodology of the influential study by Honohan and Lane (2003) exploring the role of nominal effective exchange rate, cyclical conditions, fiscal policies and price convergence in inflation differentials across the euro area countries. The application of the same methodology and explanatory variables enables us direct comparison with results of Honohan and Lane (2003). Our results suggest that the given factors are important determinants of inflation differentials in the new EU member states, too. Exchange rate appreciation and a higher price level in the new EU member states are associated with a narrower inflation differential vis-à-vis the euro area, while a fiscal deficit and a positive output gap seem to contribute to a higher inflation differential. Nevertheless, the effect of price convergence on inflation differentials is found to be...
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Implications of inflation differentials on the dynamics of GDP
Strecker, Ondřej ; Janda, Karel (referee) ; Horváth, Roman (advisor)
Inflation differentials within a monetary union translate into differentials in real interest rates. Consequently, their effect (either direct or indirect, through the wealth channel) on the GDP is pro-cyclical in the short term. In the long term, accumulated inflation differentials worsen the real exchange rate and so after some time their anti-cyclical effect will prevail. Concerning the dynamics of the GDP, longer and stronger cycles can be expected. After a theoretical description of the mentionned mechanism this paper quantifies individual effects for the EMU. It also deals with expected changes in cycles' properties after the adoption of Euro. GMM and Kiviet estimates of the panel data model generally prove the statistical significance of the considered effects. Subsequent results show positive relationship between the absolute magnitude of the inflation differentials on the one hand and the growth of the amplitude of the cycles, increase in their length and increase in time needed for the economy to return to the equilibrium after a demand shock on the other hand.
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