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Low Interest Rates and Asset Price Fluctuations: Empirical Evidence
Ali, Bano ; Horváth, Roman (advisor) ; Vácha, Lukáš (referee)
The thesis focuses on estimating the effect of expansionary monetary policy concerning asset prices, specifically house and stock prices as they are of pri- mary importance in financial markets. A structural vector autoregressive model is used including data for the Euro Area, the United Kingdom, and the United States from 2007 to 2017. Moreover, instead of short-term nominal interest rate, the shadow policy rate is used to measure the stance of both conventional and unconventional monetary policy. It is useful when policy rates of central banks are at or near zero as it neglects the zero-lower bound. Using both impulse response functions and forecast error variance decomposition, results suggest that higher interest rates are indeed associated with lower asset prices. That is confirmed by including two different estimates of shadow rates into the model and observing the effect for two specific types of assets. More precisely, house prices react almost immediately showing the most substantial decrease for the United Kingdom, while stock prices slightly increase at first and de- crease afterward with similar size of the effect for all areas under consideration. Finally, the discussion of how the monetary authority should react to asset price fluctuations is provided, summarizing the vast amount of literature...
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Inflation Target Setting in Emerging Markets
Orosz, Előd ; Horváth, Roman (advisor) ; Herrmannová, Lenka (referee)
This thesis focuses on emerging market economies which are using inflation targeting as a monetary policy framework. We present an analyses of development of inflation target in emerging market economies and detected its determinants by econometric methods. We used Random Effects Interval Regression, Ordinary Least Squares, Random Effects Generalized Least Squares and Fixed Effects estimator. The thesis contains two main parts. First part surveys theoretical background of inflation targeting focusing on emerging markets. Second part contains an empirical study on inflation targeting. We find out that inflation target in emerging countries is affected by more factors than central banks report. Moreover we found out that price level has an inverse effect on inflation target if we examine just emerging countries, than if we examine whole group of inflation targeting countries.
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SME Access to Finance and Monetary Policy of the ECB
Brázdová, Martina ; Horváth, Roman (advisor) ; Dědek, Oldřich (referee)
The objective of this thesis is to provide new insights into determinants of firm access to finance, and the role of the European Central Bank's (ECB) monetary policy. Not only do we describe and analyze the determinants of access to finance, but we focus on the theory of financial intermediation, as well. The key part analyses European Commission (EC)/ECB survey data for 16 euro area economies from 11 survey waves in the period from 2009 to 2014. We build our model using traditional firm-level variables such as firm size and age as well as a novel measure of the ECB's monetary policy stance - the shadow rate. We hypothesize that smaller and younger firms with decreased profitability over the past 6 months and increased leverage over the same period are more likely to report problems with access to finance. Our results are intuitively consistent with theoretical expectations and also show that the looser the monetary policy of the ECB is, the lower the composite financing gap indicator. Interestingly, we do not confirm the existence of risk taking channel of the monetary policy. Overall, we make use of the most recent survey data, extend the dataset, and use modified methodology for our estimation.
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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 ; Horváth, Roman (advisor) ; Janda, Karel (referee)
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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Taylor rules and interest rate setting of the Czech National Bank
Hrachovec, Miloš ; Horváth, Roman (advisor) ; Geršl, Adam (referee)
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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Finance and Growth Nexus: CEE & Central Asia and Beyond
Enkhbold, Buuruljin ; Horváth, Roman (advisor) ; Chytilová, Julie (referee) ; Korosteleva, Julia (referee)
Buuruljin Enkhbold Finance and Growth Nexus: CEE & Central Asia and Beyond Abstract (English) This thesis investigates the effect of financial development on economic growth using both global sample and regional samples focusing on Central and Eastern Europe (CEE) and Central Asia during the time period 1960-2013. The results of fixed effect panel and system GMM estimators suggest that the effect of private credit on growth had been neutral until 2007 and the effect turns negative if the time period is up to 2013. The negative effect of private credit on growth has been the largest for CEE and Central Asia, particularly for non-EU countries in the region. Stock market capitalisation and lending deposit spread have consistent effects regardless of the choice of time frame which implies that economies benefit from larger stock markets and lower lending deposit spread. Keywords: financial development, credit, stock market, spread, growth, CEE and Central Asia, generalized method of moments (GMM)
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Forecasting the Czech exchange rate : a VAR analysis
Průša, Pavel ; Horváth, Roman (advisor) ; Mertlík, Pavel (referee)
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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Confidence, economy and the global economic crisis
Fišer, Radovan ; Horváth, Roman (advisor) ; Benáček, Vladimír (referee)
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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