|
|
Adverse Effects of Monetary Policy Signalling
Matějů, Jakub ; Filáček, Jan
Assuming information asymmetry between private agents and the central bank about the state of the economy, an unexpected change in interest rates signals the central bank’s perceived state of the economy and facilitates an update of private expectations in an adverse, perhaps unintended way. This “updating channel” might counteract the standard transmission from interest rates to inflation and output. We develop a simple model laying down a theoretical basis for the adverse effects of monetary policy signalling. We also detect the presence of the updating channel in private forecasts of inflation in a cross-country sample of selected OECD countries.
Fulltext:  PDF
|
|
|
Price-Level Targeting – A Real Alternative to Inflation Targeting?
Böhm, Jiří ; Filáček, Jan ; Kubicová, Ivana ; Zamazalová, Romana
This paper reviews price-level targeting in the light of current theoretical knowledge and past practical experience. We discuss progress in the economic debate on this issue, starting with the traditional arguments discussed in the early 1990s, moving to Svensson’s seminal paper in the late 1990s and ending with the most recent literature from the beginning of the new millennium. We devote special attention to the issues of the zero interest rate bound, time consistency and communication. Practical experience from Sweden in the 1930s and Czechoslovakia in the first few years after WWI is used to illustrate the advantages and disadvantages of price-level targeting. Finally, the similarities of price-level and inflation developments with hypothetical outcomes under price-level targeting are investigated in selected inflation-targeting countries.
Fulltext: PDF
|
|
|
Central bank transparency and credibility
Holinka, Tomáš ; Mandel, Martin (advisor) ; Brůna, Karel (referee) ; Filáček, Jan (referee)
This dissertation attempts to analyze the impact of transparency and credibility of central banks on financial markets. While the topic of central bank's transparency has been extensively elaborated in literature, the linkage between institutional framework and empirical characteristics of transparency and credibility have not been adequately described. The study aims to overcome this absence and try to quantify transparency and credibility of central banks, as well as to analyze the relationship between them and their effect on interest rates and inflation expectations. The analysis is performed for nine major central banks: the Reserve Bank of Australia, the Bank of Canada, the European Central Bank (ECB), the Bank of Japan, the Reserve Bank of New Zealand, the Sveriges Riksbank, the Swiss National Bank, the Bank of England, and the U.S. Federal Reserve, and three central and eastern European central banks--the National Bank of Poland, the Hungarian National Bank and the Czech National Bank (CNB). The transparency index, based on survey, is constructed for all twelve central banks mentioned above, while measures of transparency and credibility that are derived from financial market instruments are performed only for the ECB, Fed and the CNB. Finally, we analyze the impact of transparency and credibility of the CNB on interest rates and inflation expectations. The analysis shows that central bank transparency has improved substantially in the last decade. The most transparent central banks in our sample are the Sveriges Riksbank and the Czech National Bank, followed by the Bank of England. A range of communication channels that improve the transparency of monetary policy, however, have little impact on central bank credibility. It is primarily policy-makers' verbal comments, monetary policy implementation and clarity that affect the predictability of monetary policy and contribute most to increasing its credibility. Therefore, the main reason of low credibility is confusing communication, which cannot be eliminated even by maximum openness of the central bank. The additional study of the Czech National Bank showed that during the European debt crisis, greater credibility of the CNB reduced the uncertainty in financial market and contributed to efficient formation of private agents' inflation expectations. Moreover, the results of the analysis show that inflation expectations in the Czech Republic are formed rationally, i.e. they are based on the CNB inflation forecast rather than on the actual values of inflation.
|
|
|
Central bank forecasts as a coordination device
Filáček, Jan ; Saxa, Branislav
Do private analysts coordinate their forecasts via central bank forecasts? In this paper, writers examine private and central bank forecasts for the Czech Republic. The evolution of the standard deviation of private forecasts as well as the distance from the central bank’s forecasts are used to study whether a coordination effect exists, how it is influenced by uncertainty, and the effects of changes in central bank communication. The results suggest that private analysts coordinate their forecasts for the interest rate and inflation, while no or limited evidence exists for the exchange rate and GDP growth.
Fulltext: PDF
|
|
|
Why and how to assess inflation target fulfilment
Filáček, Jan
The primary aim of this paper is to propose a methodological framework for inflation target fulfilment assessment based on partial simulations, as applied in the Czech National Bank. In order to demonstrate the applicability of this framework writers analyse the performance of the Czech National Bank between 2002 and 2006. They show that a large part of the inflation target misses in this period can be assigned to bias in the variables describing external developments.
Fulltext: PDF
|
|
| |
guest ::
RSS feed.