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Je Taylorovo pravidlo příliš jednoduché pro praktické využití v malé otevřené ekonomice jako je Česká republika?
Juračka, Tomáš ; Mičúch, Marek (advisor) ; Potužák, Pavel (referee)
The Taylor rule and its variants played a prominent role in the monetary policy discussion among theoreticians and practitioners for more almost two decades. The purpose of this thesis is to assess on the applicability of the simple instrument rules such as a classic Taylor's rule to the Czech economic environment which can be described as a small open economy with banking market specifically skewed by excess liquidity. The applicability is evaluated based on the variants of the Taylor rule and their effectiveness in describing the monetary policy of the central bank. The results of the models presented in this thesis are ambiguous. Traditional specification of the Taylor's rule is clearly unsuccessful in describing the behaviour of the Czech National Bank. However, if the models are altered to their historical variants containing only the information accessible at the time of decision making, their robustness and explanatory value increase significantly. Taking interest rate smoothing and exchange rate into consideration further improves the models. The policy behaviour of the Czech National Bank can be best described by the historical model with the one-year-ahead inflation prognosis, output gap, exchange rate and lagged target interest rate as explanatory variables. One of interesting results of this model is that the output gap does not play important role in the Czech National Bank decision making which is consistent with the opinions presented in the Czech National Bank Board Minutes.
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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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US Monetary policy in new millenium: analysis and influences on domestic and global economy
Vaško, Dan ; Neumann, Pavel (advisor) ; Žamberský, Pavel (referee)
This Diploma thesis analyses monetary policy management in USA during the passed decade and proposes some changes regarding the future decision making of central banks. In particular, a considerable deviation of the actual monetary policy from the Taylor rule right before the housing bubble was proved by an econometric model. As a consequence, too low interest rates in this period caused significant higher magnitude of real estate prices. However, it can be said that monetary policy was not the main cause of the creation of this bubble. Regarding the FED's reaction on financial crisis, new perspectives are provided. According to this study, credit risk is thought to have been the main cause of financial stress. This is in contradiction with FED's measures that were mainly focused on lack of liquidity in financial markets. Last but not least, this thesis argues that nowadays, international development should be more reflected in monetary policy decision making.
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Causes of the Mortgage Meltdown and Reasons of the US Financial Crisis in 2007 - 2008
Bukva, Bondy ; Dočkal, Dalibor (advisor) ; Urban, Luděk (referee)
The major goal of this work is to conduct a careful analysis of the 2007 -- 2008 mortgage crises, with focus on both the United States financial and mortgage markets. The actual 2007 -- 2008 collapse wasn't only a typical market crash. It was also a "collapse" of ideals and new methods that came to life particularly during the times of the Great Moderation. In this work I further examine three particular issues. These are: economic and political decisions, the psychology of continuous and sustainable growth and the creation of so called toxic assets. Also in tandem to and related with a monetary policy and moral hazard analysis, I try to fully comprehend the actual market bust of the late 2000s. The purpose of my analysis is then finding out if there was a single cause of the market crash of 2007 -- 2008 or if there actually were multiple factors leading to the slump.
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How Does Monetary Policy Change? Evidence on Inflation Targeting Countries
Baxa, Jaromír ; Horváth, R. ; Vašíček, B.
We examine the evolution of monetary policy rules in a group of inflation targeting countries (Australia, Canada, New Zealand, Sweden and the United Kingdom), applying a moment-based estimator in a time-varying parameter model with endogenous regressors. Using this novel flexible framework, our main findings are threefold. First, monetary policy rules change gradually, pointing to the importance of applying a time-varying estimation framework. Second, the interest rate smoothing parameter is much lower than typically reported by previous time-invariant estimates of policy rules. External factors matter for all countries, although the importance of the exchange rate diminishes after the adoption of inflation targeting. Third, the response of interest rates to inflation is particularly strong during periods when central bankers want to break a record of high inflation, such as in the UK or Australia at the beginning of the 1980s.
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Below Zero: Economics of Negative Interest Rate
Stroukal, Dominik ; Šťastný, Daniel (advisor) ; Špecián, Petr (referee)
This paper discusses the issue of negative nominal interest rate. Consistent following of Taylor's rule may lead to recommendations to adjust the interest rate below its zero bound. Although the negative nominal interest rate is considered to be impossible, proposals that can make it possible are presented. Their common impact is raising the cost of holding money. It is proven that without a statutory anchor and enforcement this policy of raising the cost of holding money cannot work. Since the originary rate of interest cannot be negative, the whole concept of negative nominal interest rates is only an unconventional form of taxation.
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Comparison of crisis in Czech Republic in years 1997/1997 and crisis in USA in years 2008/2009
Bolehovský, Petr ; Pichaničová, Ludmila (advisor) ; Maleček, Petr (referee)
This bachelors work compares the crisis in Czech republic in years 1997/1998 and crisis in USA in years 2008/2009. It firstly focuses on theoretical concept of financial markets and monetary policy. Then it describes Taylor rule, political cycle and money aggregates. Next chapter focuses on the causes of crisis in Czech republic and on factors that to started and prolonged this crisis. Next chapter focuses on the causes of crisis in USA and on factors that started and prolonged this crisis. This work points to differences and common signs of them. In the end it explains some mistakes that government and central banks should avoid in their policies.
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Měnová politika a ECB
Strejc, Daniel ; Klosová, Anna (advisor) ; Coniglio, Nicola (referee)
The thesis evaluates the ECB's monetary policy during the past decade by using policy rules and compares the suitability to particular members of the Eurozone. It examines the central bank's reaction function regarding the output and inflation. The work is divided into two main parts. First, gives the theoretical introduction of monetary policy and evaluation of the Eurozone regarding the theory of optimal currency area. In the second part it provides the econometric models and estimates. As a conclusion the results of two different OLS models show that, we cannot precisely decide to which variable the ECB reacted, as obtained two statistically significant models but with different results. For two models is used different variables GDP gap and IPI gap. The results have also shown that the ECB's monetary policy mostly suits to biggest economies within the Eurozone.
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