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The Role of Business Confidence in the Monetary Policy Transmission Mechanism: Evidence from the Euro Area
Liu, Zhaozhi ; Holub, Tomáš (advisor) ; Komárek, Luboš (referee)
Traditional macroeconomics believes that confidence is not the main cause of economic fluctuations, but when faced with financial crises, monetary authorities still emphasize the role of stabilizing confidence. Although people generally agree that confidence is an important part of the transmission of macro-policies to micro- individuals, there is neither empirical evidence support nor corresponding mechanism research. This thesis attempts to answer the following questions: Does business confidence affect the effectiveness of monetary policy? Does business confidence have the same impact on monetary policy in different economic periods? This thesis first constructed a structural vector auto-regression (SVAR) model to test the role of business confidence in the transmission of monetary policy in the euro area. The empirical results show that expansionary monetary policy can effectively boost business confidence while stimulating output growth. In addition, this thesis extends the model by introducing share prices and exchange rates to investigate the role of these two important to the monetary transmission mechanism, concluding that business confidence plays a strong role in interest rate transmission and a weaker role in the transmission of asset prices and exchange rates. Subsequently, in order to...
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The Role of Business Confidence in the Monetary Policy Transmission Mechanism: Evidence from the Euro Area
Liu, Zhaozhi ; Holub, Tomáš (advisor) ; Komárek, Luboš (referee)
Traditional macroeconomics believes that confidence is not the main cause of economic fluctuations, but when faced with financial crises, monetary authorities still emphasize the role of stabilizing confidence. Although people generally agree that confidence is an important part of the transmission of macro-policies to micro- individuals, there is neither empirical evidence support nor corresponding mechanism research. This thesis attempts to answer the following questions: Does business confidence affect the effectiveness of monetary policy? Does business confidence have the same impact on monetary policy in different economic periods? This thesis first constructed a structural vector auto-regression (SVAR) model to test the role of business confidence in the transmission of monetary policy in the euro area. The empirical results show that expansionary monetary policy can effectively boost business confidence while stimulating output growth. In addition, this thesis extends the model by introducing share prices and exchange rates to investigate the role of these two important to the monetary transmission mechanism, concluding that business confidence plays a strong role in interest rate transmission and a weaker role in the transmission of asset prices and exchange rates. Subsequently, in order to...
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Gravity analysis of outward Chinese FDI - tests of the Silk Road effect
Liu, Peng ; Semerák, Vilém (advisor) ; Komárek, Luboš (referee)
New Silk Road is a strategy of China to make more trade, investment as well as other activities in different fields with more countries, which points out the new direction for China's future investment. In 2019, Chinese firms have invested US$ 15.04 billion directly in 56 countries along the One Belt and One Road in non-financial industries. The FDI from China to OBOR countries can be influenced by many factors. This paper would study the investment characteristics of Chinese FDI during recent years and use an extended gravity model to analyze the factors that can influencing FDI. By taking "One Belt and One Road" countries as research objects and adopting the extended gravity model, this paper find which factors are attractive for Chinese FDI to OBOR countries. On the other hand, the article also calculates the investment potential index, which plays a specific complementary role in the research of China's FDI in different areas and finally give policy reference for Chinese FDI. JEL Classification F21 F42 Keywords Foreign Direct Investment, One Belt and One Road , Gravity Model, Investment Potential Index
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Exchange Rate Volatility Effect on Trade Balance in Czech Republic
Naletova, Anastasiia ; Kočenda, Evžen (advisor) ; Komárek, Luboš (referee)
This master's thesis investigates the impact of exchange rate volatility on trade balance of the Czech Republic during 2005-2016. The analysis is performed on the constructed panel dataset for 53 trading partners of the Czech Republic by estimating the trade gravity models. The realized volatility values are obtained for 43 Czech koruna pairs against the local currencies. The variables included into the empirical analysis are the GDP and population of the Czech Republic and its trading partners, realized volatility, weighted distance, contiguity, direct access to the sea and information on EU and OECD membership. The methodological approaches in the analysis are calculations of realized exchange rate volatility and for gravity models panel data estimation techniques: pooled OLS, fixed effects and random effects. The gravity models are compared by the formal tests, and the most efficient among them is the fixed effects. The results of the estimated augmented model reveal significant positive impact of exchange rate volatility on trade balance of the Czech Republic. The key variables that have the expected significant positive impact on trade balance are GDP of the Czech Republic and its trading partners in the basic model, population of the Czech Republic and EU membership in the augmented model....
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Longer-term Yield Decomposition: an analysis of the Czech Government Yield Curve
Kučera, Adam ; Dvořák, Michal ; Komárek, Luboš ; Komárková, Zlatuše
The term structure of yields is an important source of information on market expectations about future macroeconomic developments and investors’ risk perceptions and preferences. This paper presents the methodology used by the Czech National Bank to obtain such information. It describes the decomposition of the Czech government bond yield curve into its components. The evolution of those components is interpreted in relation to the macro-financial environment, as embodied by selected variables. The practical use of the decomposition in estimating and interpreting the responses of the Czech government bond yield curve to macroeconomic and financial shocks is presented using a vector autoregression model.
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House Prices and Household Consumption: the case of the Czech Republic
Brůha, Jan ; Hlaváček, Michal ; Komárek, Luboš
In this paper, we investigate whether movements in property prices have detectable effects on Czech households’ consumption and saving decisions. We concentrate on three episodes of movements in house and apartment prices and ask whether property owners have significantly different consumption and saving choices from households living in rented properties. We found that, on average, property owners tend to have a lower propensity to consume and a higher saving rate independently of whether property prices move up or down. This casts doubts on the strength of the collateral channel linking the housing market to the macroeconomy in the Czech Republic.
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Three essays on empirical Bayesian econometrics
Adam, Tomáš ; Komárek, Luboš (advisor) ; Feldkircher, Martin (referee) ; Herrala, Risto (referee) ; Melecký, Martin (referee)
The dissertation consists of three papers which apply Bayesian econometric techniques to monitoring macroeconomic and macro-financial developments in the economy. Its aim is to illustrate how Bayesian methods can be employed in standard areas of economic research (estimating systemic risk in the banking sectors, nowcasting GDP growth) and also in a more original area (monitoring developments in sovereign bond markets). In the first essay, we address a task which analytical departments in central banks or commercial banks face very often - nowcasting foreign demand of a small open economy. On the example of the Czech economy, we propose an approach to nowcast foreign GDP growth rates for the Czech economy. For presentation purposes, we focus on three major trading partners: Germany, Slovakia and France. We opt for a simple method which is very general and which has proved successful in the literature: the method based on bridge equation models. A battery of models is evaluated based on a pseudo-real- time forecasting exercise. The results for Germany and France suggest that the models are more successful at backcasting, nowcasting and forecasting than the naive random walk benchmark model. At the same time, the various models considered are more or less successful depending on the forecast horizon....
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Three Essays on Central European Foreign Exchange Markets
Moravcová, Michala ; Horváth, Roman (advisor) ; Komárek, Luboš (referee) ; Baumohl, Eduard (referee) ; Pappas, Vasileios (referee)
This dissertation thesis consists of three essays on new EU foreign exchange markets (FX), i.e. the Czech koruna, Polish zloty and Hungarian forint. In the first two essays, the impact of foreign macroeconomic news announcements and central banks' monetary policy settings on the value and volatility of examined exchange rates is analyzed. In the third chapter, the conditional comovements and volatility spillovers on new EU FX markets is examined. The aim of this thesis is to contribute to the existing empirical literature by providing new evidence of the examined currencies during periods, which have not been examined yet (after the Global financial crisis (GFC), during the EU debt crisis and during currency interventions in the Czech Republic). The first essay (Chapter 2) examines the impact of Eurozone/Germany and US macroeconomic news announcements and monetary policy settings of the ECB and the Fed on the value of new EU member states' currencies. It is a complex analysis of 1-minute intraday dataset performed by event study methodology (ESM). We observe different reactions of exchange rates in pair with the US dollar on the US macroeconomic announcements and Euro-expressed FX rates on Germany macro news during the EU debt crisis and after it. We also provide evidence of leaking news, showing...
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Monetary Policy Transmission - Bank Lending Channel and Banking Market Structure. The Case of Georgia, Azerbaijan, and Armenia.
Jvaridze, Tinatin ; Mareš, Jan (advisor) ; Komárek, Luboš (referee)
In the thesis, we examine the bank lending channel and the effect of banking market structure on the transmission of monetary policy in Georgia, Armenia, and Azerbaijan. We employ bank-level data for the period of 2011-2017 to detect if banks with different characteristics react differently to monetary policy shocks. Banking market structure is proxied by three measures-CR5, HHI, and Lerner Index. We estimate two types of models: dynamic (with system GMM) and static (with FE) models. We also consider the effect of dollarization on bank loan supply as well as on monetary policy. We do not find consistent evidence that banks react differently to monetary policy shocks depending on bank characteristics (size, capitalization, and liquidity). Hence the existence of the lending channel is not conclusive. Nevertheless, the results show that monetary policy is less effective in more concentrated markets. This finding is robust in all specifications with both types of models. In this sense, competition is not significant. The results also suggest that dollarization weakens the effect of domestic monetary policy. Keywords bank lending channel, CR5, HHI, Lerner Index, system GMM, dollarization Author's e-mail t.jvarize@yahoo.com Supervisor's e-mail janxmares@gmail.com
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