National Repository of Grey Literature 10 records found  Search took 0.01 seconds. 
Essays on Monetary Policy
Žáček, Jan ; Holub, Tomáš (advisor) ; Horváth, Roman (referee) ; Tillmann, Peter (referee) ; Bulíř, Aleš (referee)
CHARLES UNIVERSITY FACULTY OF SOCIAL SCIENCES Institute of Economic Studies Essays on monetary policy Abstract Author: Mgr. Jan Žáček Advisor: doc. Mgr. Tomáš Holub, Ph.D. Academic year: 2020/2021 Abstract The dissertation thesis consists of three research papers in the field of mone- tary policy. All three papers connect the same topic - monetary policy rules. The first two papers focus on monetary policy rules augmented with finan- cial variables from a theoretical point of view, while the third paper provides international empirical evidence on the monetary policy conduct taking into account financial cycle developments. In the first paper I employ a small-open economy dynamic stochastic gen- eral equilibrium (DSGE) model to examine whether the central bank's direct reaction to asset prices or credit-to-GDP ratio brings macroeconomic benefits in terms of lower volatility of inflation and output. I find that direct reaction to asset prices can be beneficial for a central bank; however, the result holds only for some domestic shocks. When facing shocks originating abroad, the usefulness of the augmented monetary policy rule deteriorates. Overall, the performance of the rule augmented with asset prices is shock-dependent, and therefore, any strict rule-like behaviour for a central bank operating within a...
Monetary Transmission: Are Emerging Market and Low-Income Countries Different?
Bulíř, Aleš ; Vlček, Jan
We use two representations of the yield curve, by Litterman and Scheinkman (1991) and by Diebold and Li (2006), to test the functioning of the interest rate transmission mechanism along the yield curve based on government paper in a sample of emerging market and low-income countries. We find a robust link from short-term policy and interbank rates to longer-term bond yields. Two policy implications emerge. First, the presence of well-developed secondary financial markets does not seem to affect transmission of short term rates along the yield curve. Second, the strength of the transmission mechanism seems to be affected by the choice of monetary regime: advanced countries with a credible IT regime seem to have “better behaved” yield curves than those with other monetary regimes.
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Inflation Reports and Models: How Well Do Central Banks Really Write?
Bulíř, Aleš ; Hurník, Jaromír ; Šmídková, Kateřina
We offer a novel methodology for assessing the quality of inflation reports. In contrast to the existing literature, which mostly evaluates the formal quality of these reports, we evaluate their economic content by comparing inflation factors reported by the central banks with ex-post model-identified factors. Regarding the former, we use verbal analysis and coding of in flation reports to describe inflation factors communicated by central banks in real time. Regarding the latter, we use reduced - form, new Keynesian models and revised data to approximate the true inflation factors. Positive correlations indicate that the r eported inflation factors were similar to the true, model-identified ones and hence mark high-quality inflation reports. Although central bank reports on average identify inflation factors correctly, the degree of forward-looking reporting varies across fa ctors, time, and countries.
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External and fiscal sustainability of the Czech economy: a quick look through the IMF's night-vision goggles
Bulíř, Aleš
The paper presents the rationale for spreadsheet-based debt sustainability assessments. Policymakers can use these exercises in two ways. First, assessments of possible debt developments provide “reality checks” of macroeconomic projections. Second, the financial stability exercise may indicate vulnerability to crises. Empirically, using the IMF debt sustainability template, the paper finds that the external position of the Czech Republic appears sustainable under most plausible history-based scenarios.
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Sustainable real exchange rates in the new EU member states: what did the great recession change
Babecký, Jan ; Bulíř, Aleš ; Šmídková, Kateřina
Writers find that real misalignments in several countries with pegged exchange rates and excessive external liabilities widened relative to earlier estimates. While countries with balanced net trade positions may experience sustainable appreciation during 2010–2014, several currencies are likely to require real depreciation to maintain sustainable net external debt.
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Monetary policy rules with financial instability
Bauducco, Sofia ; Bulíř, Aleš ; Čihák, Martin
To provide a rigorous analysis of monetary policy in the face of financial instability, writers extend the standard dynamic stochastic general equilibrium model to include a financial system.
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Inflation targeting and communication: Should the public read inflation reports or tea leaves?
Bulíř, Aleš ; Šmídková, Kateřina ; Kotlán, Viktor ; Navrátil, David
Using a simple forward-looking policy rule and an assessment of inflation reports, writers provide a new methodology for the empirical evaluation of consistency in central bank communication.
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The Maastricht inflation criterion: "saints" and "Sinners"
Bulíř, Aleš ; Hurník, Jaromír
This study is about the Maastricht inflation criterion, designed in the early 1990s to bring "high-inflation" EU countries into line with "low-inflation" countries prior to the introduction of the euro, poses challenges for both new EU member countries and the European Central Bank.
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Exchange rate in the new EU accession countries: What have we learned from the forerunners?
Bulíř, Aleš ; Šmídková, Kateřina
This study deals with the economic problems associated with the European Union. Estimation and simulation of sustainable real exchange rates in some of the new EU accession countries point to potential difficulties in sustaining the ERM2 regime if entered too soon and with weak policies. According to the estimates, the Czech, Hungarian, and Polish currencies were overvalued in 2003.
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Some exchange rates are more stable than others: short-run evidence from transition countries
Bulíř, Aleš
The paper investigates empirically the endogenous liquidity nexus of exchange rate determination on a sample of four transition economies. It finds evidence in favor of the hypothesis of a nonlinear error correction process vis-à-vis longer-term trend deviations. The results suggest that early and successful exchange-rate market and financial-account liberalization pays off in terms of depth of the market and, hence, faster adjustment of national currencies to short-term shocks to the exchange rate.
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