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Voting in central banks: An empirical analysis
Jonášová, Júlia ; Horváth, Roman (advisor) ; Fišerová, Tereza (referee)
The aim of the thesis is to assess informative power of the voting records of central banks. The research concentrates on the following aspects: predictability of future repo rate changes based on the voting records in longer horizons, level of disagreement in Monetary policy committee (MPC) and financial markets' expectations, comparison between results of the analysis before and during the financial crisis and weighting every vote according to attendance of the policymaker. The results confirm that voting records are, indeed, informative about future monetary policy changes and can increase predictability of the particular central banks. Negative dispersion coefficient for the Bank of England (BoE) and Czech National Bank (CNB) suggests that increase in uncertainty stimulates looser monetary policy. For the BoE and Riksbank voting records signal the change of the repo rate approved also at the further meetings, which is partially true for the Czech Republic and Poland. Regarding the period of financial crisis, it is shown that markets heavily rely on the minutes as the source of knowledge and the magnitudes of the estimate for the skew coefficient are much higher. The effect of experience is present in the case of CNB and National Bank of Poland (NBP).
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Quantitative Easing and its Impact on Wealth Inequality
Lazar, Stefan-Alexandru ; Taušer, Josef (advisor) ; Čajka, Radek (referee)
The aim of this thesis is to show how the unconventional monetary policy rounds of Quantitative Easing introduced in the United States between 2008 and 2014 have led to an increase in wealth inequality. The need for the thesis arises due to the uncharted nature of QE and because of more and more information is surfacing to light which points to this connection. By analysing the distribution of these funds and adding it to the then base distribution of money supply, this study was able to determine a significant 10 % increase in the Gini Index. Furthermore it highlights how a large portion of wealth was transferred from the middle class over to the top 5 % income households. Starting from a set of assumptions the calculation is performed by extrapolating the data required and by isolating the system from any external variables. The result is a theoretical model meant to describe the mechanism that links Quantitative Easing to wealth inequality. Moreover a detailed comparison is provided with the effect of a conventional monetary policy such as Open-Market Operations. Finally solutions to this issue are being discussed from economical, political and fiscal standpoints.
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Evolution of monetary policy regimes and it is suitable in present
Frýbová, Kateřina ; Řežábek, Pavel (advisor) ; Zamrazilová, Eva (referee)
The current monetary policy has been a widely discussed topic. The main focus has been given to the inflation targeting and whether it is suitable in situations with low inflation and low interests rates. The present study is addressing the monetary policy regimes and evolution of targeting aggregates under inflation targeting. The goal of my thesis is to verify whether the interests rates close to technical zero don t cause systematically larger deviations of forecasts of inflation from reality. Having compared most monetary regimes, their advantages and disadvantages in the current situation, I have come to the conclusion that although inflation targeting is not absolutely perfect, the shortcomings and the pitfalls of other regimes are considerably less favourable. Although the inflation deviation is increasing, this is most likely attributable to the error of model and the overtly optimistic forecast of the Czech National Bank than to the possibility that the errors directly relate to the level of interests rates.
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Economic Research Bulletin (2012, No.2). No. 2, Vol. 10, November 2012, Financial Stability and Monetary Policy
Česká národní banka
The importance of analysing the interactions between financial stability and monetary policy and its effects on macroeconomic fluctuations has risen substantially during the current financial crisis. This edition of the Research Bulletin is focused on five articles which analyse these interactions from various angles. The first article examines the effect of tighter macroprudential and monetary policies on output. According to this research, in comparison to monetary policy, macroprudential policy may be less costly, as it has less adverse effects on bank earnings. The second article examines to what extent financial frictions matter for macroeconomic fluctuations. The results suggest that the effect of financial frictions on macroeconomic fluctuations is sizeable only when financial stress is sufficiently high. The third article focuses on the relation between central bank finances and inflation. The article concludes that central bank losses are unlikely to represent a threat to price stability. The fourth article examines whether low monetary policy rates may increase commercial banks’ risk-taking. It finds that too low an interest rate may lead to a build-up of long-term risks to financial stability, but a lower interest rate during the life of a loan reduces its riskiness. The fifth article examines the interactions between bank capital and bank liquidity creation. The results indicate that greater capital requirements are beneficial for financial stability but may have an adverse effect on bank liquidity creation.
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Economic research bulletin (2012, No.1). Macroeconomic forecasting: methods, accuracy and coordination
Česká národní banka
The first article performs an empirical investigation of the accuracy of Czech quarterly GDP forecasts of various models which extract information from the available monthly indicators. The forecast performance of the eight models is compared mutually and with the historical near-term forecasts of the CNB’s staff. The second article assesses the practical usability of Bayesian fan charts for the purposes of CNB forecast evaluation and financial stability stress testing. The third article evaluates the accuracy of Consensus Economics forecasts by comparison with the alternative forecasts including those of international organisations. Furthermore, the impact of the recent crisis on forecast performance is investigated. The last article analyses the extent to which private analysts coordinate their forecasts with those produced by the Czech National Bank, and whether such coordination changes over time.
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Economic research bulletin (2010, No.1)
Česká národní banka
The first aticle formed the basis for the current CNB forecasting framework. The second one significantly shaped the discussions about the implications of the CNB’s losses. The third one established which methodologies and which data can be used to identify bubbles in the Czech housing market. The fourth introduced Beveridge curve estimates into the CNB’s policy documents. There are, of course, other papers that have influenced the CNB’s policy thinking. Some of them were featured in previous Bulletins and some are still work-in-progress. It is our hope that the CNB’s economic research will continue contributing to policy debates in the next ten years.
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Economic research bulletin (2009, No.1)
Česká národní banka
This issue tries to figure out which deviation factors were important in the Czech case. The presented articles propose several potential suspects: a series of shocks, the forecasting system and the decision-making system. The articles then suggest which methodologies could be used to decipher the deviation puzzle and provide empirical results for the Czech case. These results suggest that deviations of inflation from the target in the past decade cannot be explained by a single factor in the Czech case, and that the role of each factor changed over time. Anti-inflationary shocks are the most frequently identified source of the deviations. In the initial stage of inflation targeting, the forecasting system and the decision-making process also contributed. The analysis of factors contributing to deviations of inflation from the target provides useful lessons for improving the inflation targeting strategy. For example, a less rigid forecasting system seems to be more beneficial than a forecasting system that is changed only very rarely.
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Economic research bulletin (2006, No.1)
Česká národní banka
Why does research benefit central banks, and what type of research benefits them the most? Three members of the CNB’s Research Advisory Committee (RAC)1) – David Mayes, Carsten Detken and Nicoletta Batini – provide some answers to these questions. Central banks’ ability to attract the brightest young minds makes them one of the best hubs of applied economic research. Quality research serves as a reputation instrument demonstrating a central bank’s capability to handle future problems that may not simply replicate past experience. While established central banks may be able to achieve such reputation over the passage of time, “younger” central banks can demonstrate such capability both faster and more cheaply, based on evidence derived from their research. Successful central bank research programmes share some common traits. First, the management of the bank carefully selects research areas and projects based on the bank’s competitive advantage and its role in the global financial system. Second, ensuring quality output is of paramount importance, necessitating a welldesigned appraisal system and incentives for research. Finally, the bank ensures proper dissemination of research output.
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Economic research bulletin (2005, No.1)
Česká národní banka
The efficiency of macroeconomic policies depends on adequate business cycle approximation. The CNB’s approach is aimed at estimating the deviation of real GDP from its “inflation-non-accelerating” level. Such deviation – the output gap – reflects demanddriven inflationary pressures, where the Phillips curve is of primary importance. By contrast, the production function method reflects the supply-side or “capacity” view of the economy’s potential. The two approaches are subject to methodological disputes and deliver different quantitative results, thus leaving decision makers still with a considerable degree of uncertainty. That is why alternative approaches are being developed. The following articles illustrate this problem in more detail.
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