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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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Central bank communication on financial stability
Vaško, Dan ; Horváth, Roman (advisor) ; Geršl, Adam (referee)
This research analyses central bank communication on financial stability. First, most important international comparable features of the communication are identified, such as Financial Stability Reports, Stress tests, Financial soundness indicators, etc. These are then used for the construction of Financial stability transparency index (FST index) for 110 countries from 2000 to 2011. FST index is used to determine the most important drivers of central bank communication. In particular, the level of transparency towards financial stability depends most on monetary policy transparency, size and development of the economy. Finally, the impact of financial stability transparency on financial stability is under investigation. Using two proxies for financial stress, for the first time, evidence of the influence of central bank communication on financial soundness was found. It is concluded that the communication still has not reached its steady state and markets have only limited experience using it. However, the communication has a strong potential to influence financial stability in the future.
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Central Bank Communication: Comparison between the Czech National Bank and the National Bank of Moldova
Locoman, Ecaterina ; Holub, Tomáš (advisor) ; Horváth, Roman (referee)
Central Bank communication has become, in the last period, a topic of increased interest both in academia, as well as in the process of conducting the monetary policy. This thesis addresses the communication of central banking and compares the Czech National Bank's (CNB) communication practices with the ones of the National Bank of Moldova (NBM) for the period of 2005 - 2010. Communication of both central banks is analyzed by compyling a Transparency Index, based on a detailed analysis of actual information disclosure by the two banks. In order to analyze how surprising are the monetary policy decisions in the two countries, an investigation about how much the short-term money market rates change after the monetary policy decision's announcement has been made. The results of the analyses show that the CNB has achieved almost full transparency in 2010 in conducting the monetary policy, while the NBM, even though registered a gradual increase in its transparency since 2005, still needs to put more effort into improving its communication practices. The research also reveals that the CNB manages to lower the pace of market surprises related to its monetary policy decisions, while in the case of NBM, the money market rates respond little to the policy rate changes. Also, in order to show the importance...
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Měnová politika a současná krize: Co lze vyčíst z „minutes“?
Gryčová, Marta ; Hurník, Jaromír (advisor) ; Sedláček, Petr (referee)
Abstract Based on the Romer and Romer (1989) methodology this paper analyzes behavior of the US Federal Reserve System (FED) and the Czech National Bank (CNB) during the recent crisis. It explores minutes and press releases from the meetings of the Bank Board of the CNB and the Federal Open Market Committee of the FED, i.e. on one hand from the side of a small open economy that has been hit mainly through decline in foreign demand, on the other from the side of a big closed economy, in which the recent crisis has originated. It compares reaction in interest rate and adequacy of unconventional measures with a prediction of a simple 'Taylor rule' (Taylor, 1993) and tries to evaluate the adequacy of the overall reaction of mentioned central banks to the crisis.
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