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Financial integration at times of financial instability
Babecký, Jan ; Komárek, Luboš ; Komárková, Zlatuše
This article analyzes the phenomenon of financial integration on both the theoretical and empirical levels, focusing primarily on assessing the impacts of the current financial crisis. In the theoretical section writers look at the definition of financial integration and summarize the benefits and costs associated with this process. The subsequent empirical section provides an analysis of the speed and level of integration of the Czech financial market and the markets of selected inflation-targeting Central European economies (Hungary and Poland) and advanced Western European economies (Sweden and the UK) with the euro area.
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The impact of population ageing on the Czech economy
Babecký, Jan ; Dybczak, Kakmil
Writers apply a stylised overlapping generation model in order to analyse the potential effects of the expected demographic changes on aggregate economic performance taking into account alternative fiscal policy set-ups. They provide a rough estimate of the amendments necessary on the revenue and expenditure sides in order to keep the current system financially balanced. They also discuss the implications for the development of other economic variables.
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Survey on wage and price formation of Czech firms
Babecký, Jan ; Dybczak, Kamil ; Galuščák, Kamil
Using an ad-hoc survey at the firm level, writers investigate the determinants of wage and price-setting practices in Czech firms, the presence and sources of wage rigidity, and reactions of firms to hypothetical shocks. Although the evidence of downward wage rigidity is not widespread, they find particular relevance of efficiency wage models for wage rigidity, while implicit contract theory is relevant in firms employing mainly highskilled labour.
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Global Economic Outlook - January 2011
Babecká, Oxana ; Klíma, Milan ; Hošek, Jan ; Benecká, Soňa ; Novotný, Filip ; Babecký, Jan ; Komárek, Luboš ; Komárková, Zlatuše
Výhledy HDP, inflace, předstihových ukazatelů, úrokových sazeb, měnových kurzů a cen komodit. V rámci rubriky „Zaostřeno na…“ obsahuje zpráva analýzu Integrace čínského akciového trhu se světem.
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Empirické eseje o pravidlech měnové politiky a inflaci
Vašíček, Bořek ; Turnovec, František (advisor) ; Šmídková, Kateřina (referee) ; Macháček, Martin (referee) ; Babecký, Jan (referee)
This dissertation is divided into four essays, each of them having its own structure and methodological framework. Although each of the essays making the chapters of the thesis is self-contained, their topics are very closely related. Consequently, the reader will be able to follow the thesis in its unity. Essay I is a selective survey of the extensive, mostly theoretic, literature dealing with monetary policy rules. We aim at contextualization of the monetary policy rules in the existing monetary economics literature. We explain the logic, the inspiration and the history of the rules for the monetary policy conduct. We distinguish between instrument rules and targeting rules as two basic categories. Finally, we resume specific issues related to policy rules for small open economies. Essay II studies the logic of short-term interest rate setting pursued by 15 EU countries before and after the launch of the EMU. We employ econometric estimation of the augmented Taylor rule (TR) for individual 15 EU countries and the Euro area. Although a vast empirical evidence is available for the major economies like the US, the UK or Germany, there is an important gap in our understanding of the factors behind the short-term interest rate dynamics in smaller economies. We find that in the period preceding the euro adoption, the TR is a poor representation of monetary policy setting in most EU countries and that many central banks considered decisions made by dominant economies rather than their domestic macroeconomic developments. The analysis of monetary policy rule of the ECB features additional problems related to the heterogeneity of the EMU. We argue that results based on Euro-area aggregated series, commonly presented in empirical studies, are subject to diverse econometric problems. We provide some evidence that the ECB is concerned also with national information and propose quasi-panel analysis as a viable framework. Essay III explores the relation between the existing monetary policy and domestic price stability in small open emerging economies, in particular the 12 EU new member states. This work has three principal objectives. First, it aims at revealing the logic of interest rate setting pursued by monetary authority of each country. The linear specification of the Taylor rule, applied already in the Essay II, is accompanied by an extensive analysis of nonlinearities in monetary policy rules and the inference on their possible sources. We find that the official monetary policy is sometimes inconsistent with the empirical evidence on the short term interest rate setting. The second objective consists in revealing the determinants of the inflation process. We have found that inflation rates are driven not only by backward persistency but also by the forward-looking component. Third, we employ analysis of the conditional inflation variance so as to give account on the viability of the existing monetary policy setting for price stability. We conclude that the policy of inflation targeting seems to be preferable to exchange rate peg because it allows decreasing not only inflation rate but also its conditional variance. Essay IV seeks to shed light on inflation dynamics of four CEEC (Czech Republic, Hungary, Poland and Slovakia) and test when the predominant model of inflation, the New Keynesian Philips Curve (NKPC), is consistent with the data of these countries. According to the microfounded NKPC, the current inflation is related to inflation expectations and the real marginal cost. The empirical validity of this model has recently become a subject of major controversy in the monetary economics. Although we find some favorable evidence for the NKPC, it seems to be too restrictive model for small open economies. In particular, the failure of the NKPC to explain the inflation dynamics of these countries may be related to the assumption that inflation is related to forward-looking price setting of domestic monopolist firms while our evidence suggests that prices in CEEC have an important backward-looking component and the inflation is significantly driven by external factors like the exchange rate and the foreign inflation rate.
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