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Essays on Monetary Policy
Žáček, Jan ; Holub, Tomáš (advisor) ; Horváth, Roman (referee) ; Tillmann, Peter (referee) ; Bulíř, Aleš (referee)
CHARLES UNIVERSITY FACULTY OF SOCIAL SCIENCES Institute of Economic Studies Essays on monetary policy Abstract Author: Mgr. Jan Žáček Advisor: doc. Mgr. Tomáš Holub, Ph.D. Academic year: 2020/2021 Abstract The dissertation thesis consists of three research papers in the field of mone- tary policy. All three papers connect the same topic - monetary policy rules. The first two papers focus on monetary policy rules augmented with finan- cial variables from a theoretical point of view, while the third paper provides international empirical evidence on the monetary policy conduct taking into account financial cycle developments. In the first paper I employ a small-open economy dynamic stochastic gen- eral equilibrium (DSGE) model to examine whether the central bank's direct reaction to asset prices or credit-to-GDP ratio brings macroeconomic benefits in terms of lower volatility of inflation and output. I find that direct reaction to asset prices can be beneficial for a central bank; however, the result holds only for some domestic shocks. When facing shocks originating abroad, the usefulness of the augmented monetary policy rule deteriorates. Overall, the performance of the rule augmented with asset prices is shock-dependent, and therefore, any strict rule-like behaviour for a central bank operating within a...
The Role of Business Confidence in the Monetary Policy Transmission Mechanism: Evidence from the Euro Area
Liu, Zhaozhi ; Holub, Tomáš (advisor) ; Komárek, Luboš (referee)
Traditional macroeconomics believes that confidence is not the main cause of economic fluctuations, but when faced with financial crises, monetary authorities still emphasize the role of stabilizing confidence. Although people generally agree that confidence is an important part of the transmission of macro-policies to micro- individuals, there is neither empirical evidence support nor corresponding mechanism research. This thesis attempts to answer the following questions: Does business confidence affect the effectiveness of monetary policy? Does business confidence have the same impact on monetary policy in different economic periods? This thesis first constructed a structural vector auto-regression (SVAR) model to test the role of business confidence in the transmission of monetary policy in the euro area. The empirical results show that expansionary monetary policy can effectively boost business confidence while stimulating output growth. In addition, this thesis extends the model by introducing share prices and exchange rates to investigate the role of these two important to the monetary transmission mechanism, concluding that business confidence plays a strong role in interest rate transmission and a weaker role in the transmission of asset prices and exchange rates. Subsequently, in order to...
Local and complementary currencies, a means to foster local economy: The case of France
Buresi, Félix André Jacques ; Krištoufek, Ladislav (advisor) ; Holub, Tomáš (referee)
1 Abstract Since 2010 in France, local and complementary currencies have grown signif- icantly, bringing the total number in circulation to 82. Most of the studies focus on the way local and complementary currencies work and their potential benefits. With the benefit of ten years of hindsight, it is time to supplement the studies with a quantitative analysis of the phenomenon and measure its impact on the local economy. A survey dealing with all the issues involved in developing a currency completes the quantitative analysis. Nevertheless, the thesis faces difficulties in collecting this data. Hence, the thesis identifies the lack of suitable tools for regular monitoring as the main reason for the data collection issue. Despite the low response rate, the collected responses provide evidence to confirm the intuition that local and complementary currencies are dependent on their framework. Indeed, based on a few responses and spe- cific cases, the thesis distinguishes critical framework-dependent elements that impact the sustainability of a local and complementary currency. Hence, the thesis emphasizes the critical role of the local consumption habits, elected rep- resentatives, relations with public bodies, and people's attachment to the local territory. Furthermore, the thesis underlies the need to sustain...
The Role of Business Confidence in the Monetary Policy Transmission Mechanism: Evidence from the Euro Area
Liu, Zhaozhi ; Holub, Tomáš (advisor) ; Komárek, Luboš (referee)
Traditional macroeconomics believes that confidence is not the main cause of economic fluctuations, but when faced with financial crises, monetary authorities still emphasize the role of stabilizing confidence. Although people generally agree that confidence is an important part of the transmission of macro-policies to micro- individuals, there is neither empirical evidence support nor corresponding mechanism research. This thesis attempts to answer the following questions: Does business confidence affect the effectiveness of monetary policy? Does business confidence have the same impact on monetary policy in different economic periods? This thesis first constructed a structural vector auto-regression (SVAR) model to test the role of business confidence in the transmission of monetary policy in the euro area. The empirical results show that expansionary monetary policy can effectively boost business confidence while stimulating output growth. In addition, this thesis extends the model by introducing share prices and exchange rates to investigate the role of these two important to the monetary transmission mechanism, concluding that business confidence plays a strong role in interest rate transmission and a weaker role in the transmission of asset prices and exchange rates. Subsequently, in order to...
The Principle and Economic Analysis of Bitcoin
Jiang, Jinggang ; Holub, Tomáš (advisor) ; Čech, František (referee)
The development of Internet technology has promoted the progress of all aspects of society. Under the background of Internet finance, the traditional financial model is changing, such as currency payment. With the deepening of Internet technology, the virtualization of money is deepening, and the market entry, trading and payment methods are also subverting the tradition. Bitcoin as a new means of payment began to appear in the public eye. It is a challenge to the traditional way of trading supported by Internet technology. Despite the constant controversy since its inception, Bitcoin still occupies a place with its unique advantages - Asymmetric encryption, decentralization,transparency of transaction records and so on. In the eyes of opponents, Bitcoin is more of a highly speculative asset, and as it becomes progressively more difficult to mine, the cost of mining is increasing. However, in the eyes of supporters, it is a reliable means of payment, not subject to government supervision, nor will it produce a virtual transaction record. From the regulator's point of view, it is more like a shelter for unscrupulous people to evade regulation and commit money laundering and crime. It is undeniable that in just a few years, Bitcoin has developed to a certain scale,has a certain industrial chain...
Mechanism of Negative Interest Rate's Influence on Bank Net Interest Margin
Fan, Yingxuan ; Holub, Tomáš (advisor) ; Jakubík, Petr (referee)
Net interest margin (NIM) is an important indicator of a bank's operational efficiency. Based on the balance sheet data of 189 major listed banks in Europe from 2010 to 2019, this thesis studies the bank's NIM mechanism in a negative interest rate environment. This thesis focuses on the system GMM method and the results show that the policy interest rate is positively related to NIM in the long run and negatively related in the short run, but the relationship between the two is not significant in the short run. Moreover, in a negative interest rate environment, bank NIM's sensitivity to policy interest rates has greatly increased, especially the policy of interest rate cuts. In addition, the sensitivity of NIMs of different banks to policy interest rates also differs significantly. Generally, the NIMs of banks with a high degree of internationalization and larger size are less sensitive to changes in policy interest rates, while the NIMs of banks with a higher share of retail business in their total business are more sensitive to changes in policy interest rates. Finally, through the value-at-risk analysis and stress test, this thesis concludes that the policy interest rate, net loan-to-asset ratio, non-performing loan ratio and inflation rate are sensitive factors of NIM. When NIM is subject to a...
Do Central Bank FX Reserves Matter for Inflation?
Keblúšek, Martin ; Havránek, Tomáš (advisor) ; Holub, Tomáš (referee)
01 Abstract Foreign exchange reserves are a useful tool and a buffer but maintaining an amount that is too large can be costly to the economy. Recent accumulation of these reserves points to the importance of this topic. This thesis focuses on one specific part of the effect of FX reserves on the economy - the inflation. I use panel data for 74 countries from the year 1996 to the year 2017. There is a certain degree of model uncertainty for which this thesis accounts for by using Bayesian model averaging (BMA) estimation technique. The findings from my model averaging estimations show FX reserves to not be of importance for inflation determination with close to no change when altering lags, variables, when limiting the sample to fixed FX regimes nor when limiting the sample to inflation targeting regimes. The most important variables are estimated to be a central bank financial strength proxy, exchange rate depreciation, money supply, inflation targeting, and capital account openness. These results are robust to lag changes, prior changes, and for the most part remain the same when Pooled OLS is used.

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