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Monetary policy regime through the lense of New Keynesian DSGE model : case of Mongolia
Sukhbaatar, Bilguun ; Maršál, Aleš (advisor) ; Rusnák, Marek (referee)
This paper identifies an optimal monetary policy rule using a calibrated small open economy DSGE model for Mongolian economy. The main result of this study is that domestic inflation-based Taylor rule is the best monetary policy regime for the Central bank of Mongolia (BoM) in terms of welfare loss. Therefore, the result of welfare analysis suggests that BoM should consider not only CPI inflation but also output gap in order to improve household welfare in economy. On the other hand currency board with fixed exchange rate regime could be very harmful to the Mongolian economy because it makes domestic economy more unstable in comparison to the other regimes. Powered by TCPDF (www.tcpdf.org)
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Exchange Rate Pass-Through Effect and Monetary Policy in Mongolia: Small Open Economy DSGE model
Buyandelger, Oyu-Erdene ; Maršál, Aleš (advisor) ; Zelený, Tomáš (referee)
This thesis analyzes the incomplete exchange rate pass-through effect on Mongolian economy and its implication on monetary policy under foreign and domestic shocks. The analysis is carried out in a small open economy New Keynesian DSGE model proposed by Monacelli (2005), where incomplete exchange rate pass-through is introduced via nominal rigidities on import prices. In order to accomplish the goal, we firstly derive the solutions of the model, calibrate the parameters, and finally simulate the impulse responses. Moreover, SVAR estimation is achieved to estimate the pass-through. Four main results are obtained. First, the exchange rate pass-through into import price and inflation is 0.69% and 0.49% respectively in short run, implying incomplete pass-through in Mongolia. Second, the exchange rate acts as a shock absorber for domestic productivity and foreign demand shock, but as a shock amplifier for domestic demand shock. Third, in case of incomplete pass-through the central bank of Mongolia is required to adjust the nominal interest rate more under the productivity shock, but less for the domestic and foreign demand shock. Finally, deviations from the law of one price contributes considerably to the variability of the output gap under the low pass-through. Therefore, considering incomplete pass-through in...
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Asset Prices in a DSGE Model with Financial Frictions
Kučera, Adam ; Maršál, Aleš (advisor) ; Zelený, Tomáš (referee)
The thesis examines the ability of DSGE models with financial elements to explain financial asset prices. A neoclassical macroeconomic model is used, in- cluding a financial constraint in the form of a restriction on external financing. Moreover, the strictness of the restriction is affected by an external financial shock. It is shown, that the combination of the financial constraint and the fi- nancial shock contributes to understanding of the macroeconomic fluctuations, asset price dynamics and their mutual impact. The calibration for the United States demonstrates that the financial shock is an important source of the as- set price volatility. Contrary, when calibrated to the Czech data, the financial shock generates only moderate asset price volatility, as a consequence of a posi- tive correlation with the productivity shock. To address the issue, the model is further extended by a sector of financial intermediaries and a preference shock related to the risk-aversion of economic subjects, and the extension is shown to improve the result.
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The Czech National Bank Communication and the Yield Curve
Karas, Pavel ; Horváth, Roman (advisor) ; Maršál, Aleš (referee)
This thesis analyzes the effect of the Czech National Bank's (CNB) communica- tion on the interest rate volatility (PRJBOR reference rate). Starting with the literature survey about the central bank communication in the world, I focus on the literature that concerns the CNB. To model the CNB's communication, I use the GARCH(l,1), EGARCH(l,1) and TARCH(l,1) models. I have created a unique data set containing the dummy variables for the CNB communication. The results are as follows: (a) the CNB's communication tends to decrease the volatility, (b) timing of the communication has a key role as the comments closer to the meeting have bigger calming effect, and that (c) there is no clear effect concerning the comments of the Bank Board members in the media. JEL Classification Keywords E43, E44, E52, E58 Czech National Bank, monetary policy signaling, central bank communication, the term structure of interest rates, GARCH analysis Author's email karasp@email.cz Supervisors's email roman. horvath@gmail.com
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The Czech National Bank Communication:GARCH analysis of 3M PRIBOR rate and Czech 10Y government bonds
Karas, Pavel ; Horváth, Roman (advisor) ; Maršál, Aleš (referee)
This thesis analyzes the effect of the Czech National Bank's (CNB) communication on the interest rate volatility (PRIBOR reference rate). Starting with the literature survey about the central bank communication in the world, I focus on the literature that concerns the CNB. To model the CNB's communication, I use the GARCH(1,1), EGARCH(1,1) and TARCH(1,1) models. I have created a unique data set containing the dummy variables for the CNB communication. The results are as follows: (a) the CNB's communication tends to decrease the volatility, (b) timing of the communication has a key role as the comments closer to the meeting have bigger calming effect, and that (c) there is no clear effect concerning the comments of the Bank Board members in the media.
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Does the probability to herd decrease when decisions are of higher importance? Experimental Approach
Kočová, Alžběta ; Cingl, Lubomír (advisor) ; Maršál, Aleš (referee)
In this thesis I study the effect of decision importance on propensity to engage in herding behaviour and what is bounded rational, optimal, utility maximizing strategy for agents. In the beginning, prior literature on herding behaviour and decision importance is reviewed. The only research connecting these two issues was done in psychology. Therefore a comparison and critique of psychological research versus experimental economics is provided in the methodological part. The main part of this thesis is designing an experiment aimed at differentiation of the propensity to engage in herding behaviour with respect to the importance of the decisions being made. People decide in a cascade among two option according to signals obtained. Eight different treatments are run, each with different size of monetary reward as a motivation. Everyone gets two signals, one private and one public. In situations when these signals are contradictory and of the same informativeness, decisions are measured and compared among treatments. Main hypothesis is that people are less likely to be influenced by other people's decisions as the task importance rises. Also data analysis is outlined. JEL Classification C92 Keywords Herding behaviour, informational cascades, importance, experimental economics Author's e-mail...
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The contemporary relevance of Paul M. Sweezy's work
Král, Tomáš ; Baxa, Jaromír (advisor) ; Maršál, Aleš (referee)
This work is engaging in personality and opinions of an American neomarxistic economist Paul M. Sweezy. In the first part of my work, I am writing about the kinked demand curve, which was formulated for the first time by Paul Sweezy. Then I am dealing with Sweezy's evaluation of socialism and how he dealt with development of socialism in socialistic countries. I put the main emphasis on interpretation of economic crisis, which he considers as a normal state of capitalism. In the end I'll try to show, that Sweezy's work is relevant, when explaining the origin of some problems of today's economy.
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Procrastination under Cooperation
Procházka, Šimon ; Janotík, Tomáš (advisor) ; Maršál, Aleš (referee)
In this paper focusing on the subject of procrastination I have aimed on the pheno- menon I noticed during studies of microeconomics course at IES, when the finished homework papers were submitted usually two hours before deadline. And I would like to clarify, what role played procrastination and its expectation in submitting of the homeworks and what part played cooperation between students during soluting of these homeworks, this means how much is procrastination result of this common waiting game, where students are taking already completed parts of solution, and if this game is actually happening. This topic I am trying to answer with the tools of game theory. Keywords Procrastination Game theory Equilibrium refinement Cooperation Group dy- namics 1
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Perceived inflation in Slovakia during euro accession
Lacko, Branislav ; Dědek, Oldřich (advisor) ; Maršál, Aleš (referee)
This bachelor thesis deals with phenomenon of perceived inflation which is related to euro changeover. This phenomenon has become in most euro area countries issue, because people perceived inflation on the higher level as was actually measured. Based on previous studies, there are described not only method to receive both perceived and actual inflation, but also factors affecting the level and potential differences. Part of this work is also a comparison of these two types of inflation in Slovak republic, as sixteenth member of euro area, and the countries that adopted euro before Slovakia.
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Sustainability of public debt, deficits of public budgets and economic growth
Marečková, Jana ; Ivanková, Kristýna (advisor) ; Maršál, Aleš (referee)
Cílem práce je otestovat udržitelnost veřejného dluhu a vliv fiskální politiky na ekonomický růst ve vybraných zemích OECD (Belgie, Francie, Itálie, Ra- kousko a Velká Británie). První část práce je věnována historickému vývoji eko- nomických přístupů k tomuto tématu a teoretickým předpokladům modelů. V druhé části práce přistupujeme k ekonometrické analýze. Na základě výsledků se podařilo prokázat udržitelnost veřejného dluhu v Belgii a Rakousku. U Itálie a Velké Británie výsledky ukazují, že jejich primární přebytky reagují pozitivně na zvyšující se poměr dluhu vůči HDP. Nepodařilo se však ukázat, že vývoj je- jich veřejného dluhu je stacionární proces. U Francie převažoval negativní vztah primárních přebytků a poměru dluhu vůči HDP. Vliv fiskální politiky na ekonomický růst zkoumáme z pohledu rozdělení výdajů na produktivní a neproduktivní a přijmů vlády na distorční a nedistorční. Z důvodu omezené dostupnosti dat se podařilo prokázat pouze v případě Itálie, že zvýšení fiskálního deficitu o 1% snižuje o 1% ekonomický růst, zvýšení distorčních daní o 1% snižuje ekonomický růst o 1,2% a zvýšení produktivních výdajů zvyšuje ekonomický růst o 0,5%. Druhou analyzovanou...
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