|
|
Limited Liability, Asset Price Bubbles and the Credit Cycle: The Role of Monetary Policy
Matějů, Jakub ; Kejak, Michal
Tato práce naznačuje, že nefundamentální komponenty cen aktiv jsou jedním ze spouštěcích faktorů úvěrového cyklu. Předkládaný model staví na literatuře finančního akcelerátoru, k němuž přidává akciový trh, kde omezeně ručící investoři obchodují s akciemi produktivních firem s nejistou návratností. Investoři si na financování těchto obchodů půjčují od bankovního sektoru a mohou zbankrotovat. Jejich omezené ručení vede ke vzniku morálního hazardu, který mění poptávku po riziku a tlačí cenu rizikových aktiv nad jejich fundamentální hodnotu. Tento mechanismus je dále implementován do neokeynesiánského modelu všeobecné rovnováhy, kde ukazuje, že expanzivní měnová politika vede k uvolnění úvěrových podmínek a k nárůstu jak fundamentální, tak nefundamentální složky cen akcií. Pozitivní šok zasahující nefundamentální složku spouští úvěrový cyklus: hodnota úvěrového zajištění roste, úrokové sazby klesají a míra nesplácených úvěrů se snižuje. Tyto efekty se však po několika kvartálech obrací a vedou k omezení úvěrování. Vzestupná fáze úvěrového cyklu trvá, jen dokud akciový trh roste dostatečným tempem. Měnová politika reagující na ceny aktiv však nevede ke snížení výkyvů inflace a mezery výstupu.
Plný text:  PDF
|
|
| |
|
|
Modeling Uganda
Cincibuch, M. ; Kejak, Michal ; Vávra, D. ; Auda, O. ; Aslanyan, Gurgen ; Bečičková, H. ; Daniš, P. ; Hřebíček, H. ; Janjgava, Batlome ; Kacer, R. ; Kameník, O. ; Konopecký, F. ; Lamazoshvili, Beka ; Lukáč, J. ; Menkyna, Robert ; Mirzoyan, Armen ; Motl, T. ; Musil, K. ; Plotnikov, S. ; Rasulova, Khanifakhon ; Remo, A. ; Vlček, J.
The report has three chapters. The chapter 1 summarizes main features of the Ugandan economy relevant for building the FPAS. The chapter 2 presents the structural macroeconomic model and its properties captured by decompositions of variances of the model’s variables in terms of the model shocks and by its impulse-response functions. The chapter also describes Bayesian vector autoregressions used for the near-term forecasting. The chapter 3 evaluates how the models perform empirically. The forecasting power is assessed both in the sample as well as by using an out-of-the-sample comparison with the standard random-walk benchmark. We conclude that the FPAS performs satisfactorily in this comparison.
|
|
|
Modeling South Africa
Cincibuch, M. ; Kejak, Michal ; Vávra, D. ; Auda, O. ; Aslanyan, Gurgen ; Baksa, D. ; Bečičková, Hana ; Daniš, P. ; Hřebíček, Hynek ; Janjgava, Batlome ; Kacer, R. ; Kameník, O. ; Konopecký, F. ; Lukáč, J. ; Mirzoyan, Armen ; Motl, Tomáš ; Musil, K. ; Plotnikov, S. ; Remo, A. ; Szilágyi, K. ; Vlček, J.
The report has two chapters. Chapter 1 describes the structural model lies at the heart of the FPAS. It summarizes the main features of the South African economy relevant for building the structural model and describes in detail the most distinctive parts of the model. The chapter concludes with an analysis of the model properties and an interpretation of past economic developments in South Africa through the optic of the model. Chapter 2 evaluates how the FPAS performs empirically. The forecasting power is assessed by in-sample comparison with the standard random-walk benchmark. We conclude that the FPAS performs satisfactorily in this comparison.
|
|
|
Modeling Russia
Cincibuch, M. ; Kejak, Michal ; Vávra, D. ; Auda, O. ; Aslanyan, Gurgen ; Baksa, D. ; Bečičková, Hana ; Daniš, P. ; Hřebíček, Hynek ; Janjgava, Batlome ; Kacer, R. ; Kameník, O. ; Konopecký, F. ; Lukáč, J. ; Mirzoyan, Armen ; Motl, Tomáš ; Musil, K. ; Plotnikov, S. ; Remo, A. ; Szilágyi, K. ; Vlček, J.
The report has two chapters. Chapter 1 describes the structural model lies at the heart of the FPAS. It summarizes the main features of the Russian economy relevant for building the structural model and describes in detail the most distinctive parts of the model. The chapter concludes with an analysis of the model properties and an interpretation of past economic developments in Russia through the optic of the model. Chapter 2 evaluates how the FPAS performs empirically. The forecasting power is assessed by in-sample comparison with the standard random-walk benchmark. We conclude that the FPAS performs satisfactorily in this comparison.
|
|
|
Modeling Myanmar
Cincibuch, M. ; Kejak, Michal ; Vávra, D. ; Auda, O. ; Aslanyan, Gurgen ; Baksa, D. ; Bečičková, Hana ; Daniš, P. ; Hřebíček, Hynek ; Janjgava, Batlome ; Kacer, R. ; Kameník, O. ; Konopecký, F. ; Lukáč, J. ; Mirzoyan, Armen ; Motl, Tomáš ; Musil, K. ; Plotnikov, S. ; Remo, A. ; Szilágyi, K. ; Vlček, J.
The report has two chapters. Chapter 1 describes the structural model which lies at heart of the FPAS. It summarizes the main features of the Myanmar economy relevant for building the structural model and describes in detail the most distinctive parts of the model. The chapter concludes with an analysis of the model properties and an interpretation of past economic developments in Myanmar through the optic of the model. Chapter 2 evaluates how the FPAS performs empirically. The forecasting power is assessed by in-sample comparison with the standard random-walk benchmark. We conclude that the FPAS performs satisfactorily in this comparison.
|
|
|
Modeling Moldova
Cincibuch, M. ; Kejak, Michal ; Vávra, D. ; Auda, O. ; Aslanyan, Gurgen ; Baksa, D. ; Bečičková, Hana ; Daniš, P. ; Hřebíček, Hynek ; Janjgava, Batlome ; Kacer, R. ; Kameník, O. ; Konopecký, F. ; Lukáč, J. ; Mirzoyan, Armen ; Motl, Tomáš ; Musil, K. ; Plotnikov, S. ; Remo, A. ; Szilágyi, K. ; Vlček, J.
The report has two chapters. Chapter 1 describes the structural model which lies at the heart of the FPAS. It summarizes the main features of the Moldovan economy relevant for building the structural model and describes in detail the most distinctive parts of the model. The chapter concludes with an analysis of the model properties and an interpretation of past economic developments in Moldova through the lens of the model. Chapter 2 evaluates how the FPAS performs empirically. The forecasting power is assessed by in-sample comparison with the standard random-walk benchmark. We conclude that the FPAS performs satisfactorily in this comparison.
|
|
|
Modeling Kyrgyzstan
Cincibuch, M. ; Kejak, Michal ; Vávra, D. ; Auda, O. ; Aslanyan, Gurgen ; Baksa, D. ; Bečičková, Hana ; Daniš, P. ; Hřebíček, Hynek ; Janjgava, Batlome ; Kacer, R. ; Kameník, O. ; Konopecký, F. ; Lukáč, J. ; Mirzoyan, Armen ; Motl, Tomáš ; Musil, K. ; Plotnikov, S. ; Remo, A. ; Szilágyi, K. ; Vlček, J.
The report consists of three chapters. Chapter 1 - Introduction is concluded with a short description of Kyrgyz economy and some of the stylized facts. The report continues with two chapters. Chapter 2 describes the structural model which lies at the heart of the FPAS. It summarizes the main features of the Kyrgyz economy relevant for building the structural model and describes in detail the most distinctive parts of the model. The chapter concludes with an analysis of the model properties and an interpretation of past economic developments in Kyrgyzstan through the lenses of the model. Chapter 3 evaluates how the FPAS performs empirically. The forecasting power is assessed by in-sample comparison with the standard random-walk benchmark. We conclude that the FPAS performs satisfactorily in this comparison.
|
|
|
Modeling Kazakhstan
Cincibuch, M. ; Kejak, Michal ; Vávra, D. ; Auda, O. ; Aslanyan, Gurgen ; Baksa, D. ; Bečičková, Hana ; Daniš, P. ; Hřebíček, Hynek ; Janjgava, Batlome ; Kacer, R. ; Kameník, O. ; Konopecký, F. ; Lukáč, J. ; Mirzoyan, Armen ; Motl, Tomáš ; Musil, K. ; Plotnikov, S. ; Remo, A. ; Szilágyi, K. ; Vlček, J.
The report has two chapters. Chapter 1 describes the structural model lies at the heart of the FPAS. It summarizes the main features of the Kazah economy relevant for building the structural model and describes in detail the most distinctive parts of the model. The chapter concludes with an analysis of the model properties and an interpretation of past economic developments in Kazakhstan through the optic of the model. Chapter 2 evaluates how the FPAS performs empirically. The forecasting power is as- sessed by in-sample comparison with the standard random-walk benchmark. We con- clude that the FPAS performs satisfactorily in this comparison.
|
|
|
Modeling Rwanda
Auda, O. ; Bečičková, H. ; Cincibuch, M. ; Čižmár, P. ; Hřebíček, H. ; Janjgava, Batlome ; Kameník, O. ; Katreniaková, D. ; Kejak, Michal ; Lamazoshvili, Beka ; Lukáč, J. ; Machala, J. ; Menkyna, Robert ; Musil, K. ; Rasulova, Khanifakhon ; Remo, A. ; Vávra, D. ; Vlček, J. ; Zemčík, Petr
The report consists of four chapters. Chapter 1 assesses the historical performance of forecasts for Rwanda. Historical forecasts since January 2010 are compared with the actual data as well as with projections of other institutions. Chapter 2 presents the structural macroeconomic model, its changes compared to the December 2009 version, and its properties captured by impulse-response functions and by variance decompositions of model’s variables in terms of the model shocks. Important is the part on the model-consistent interpretation of the recent economic Rwanda history. The section describing Bayesian vector autoregressions used for the near-term forecasting concludes. Chapter 3 evaluates how the models perform empirically. On the contrary to Chapter 1, the forecasting power is assessed both in the sample as well as by using an out-of-thesample comparison with the standard random-walk benchmark. We conclude that the FPAS performs satisfactorily in this comparison. The last chapter gives an overview of the considerable country database that has been compiled.
|
host ::
RSS.