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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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Macrofinance Modeling from Asset Allocation Perspective
Kollár, Miroslav ; Jílek, Josef (advisor) ; Holman, Robert (referee) ; Komárek, Luboš (referee)
The dissertation dealt with the interaction between the macro-economy and financial markets. In the first part of the dissertation I laid down a general case for macro-based active asset allocation. In the main part of my dissertation, after a theoretical introduction to term structure models and macrofinance models, I developed a VAR macrofinance model of the term structure of interest rates for the Czech economy based on the dynamic interpretation of the Nelson-Siegel model, and showed the use of such modeling framework in bond-yield prediction and asset allocation.
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Empirical Testing of the New Keynesian Phillips Curve in the Czech Republic
Plašil, Miroslav ; Arlt, Josef (advisor) ; Pánková, Václava (referee) ; Komárek, Luboš (referee)
New keynesian Phillips curve (NKPC) has become a central model to study the relation between inflation and real economic activity, notably in the framework of optimal monetary policy design. However, some recent evidence suggests that empirical data are usually at odds with the underlying theory. The model due to its inherent structure represents a statistical challenge in its own right. Since Galí and Gertler (1999) published their seminal paper introducing estimation via GMM techniques, they have triggered a heated debate on its empirical relevance. Their approach has been heavily criticised by later authors, mainly on the grounds of questionable behaviour of GMM estimator in the NKPC context and/or its small sample properties. The common criticism includes sensitivity to the choice of instrument set, weak identification and small sample bias. In this thesis I propose a new estimation strategy that provides a remedy to above mentioned shortcomings and allows to obtain reliable estimates. The procedure exploits recent advances in GMM theory as well as in other fields of statistics, in particular in the area of time series factor analysis and bootstrap. The proposed estimation strategy consists of several consecutive steps: first, to reduce a small sample bias resulting from excessive use of instruments I summarize all available information by employing factor analysis and include estimated factors into information set. In the second step I use statistical information criteria to select optimal instruments and eventually I obtain confidence intervals on parameters using bootstrap method. In NKPC context all these methods were used for the first time and can also be used independently. Their combination however provides synergistic effect that helps to improve the properties of estimates and to check the efficiency of given steps. Obtained results suggest that NKPC model can explain Czech inflation dynamics fairly well and provide some support for underlying theory. Among other things the results imply that the policy of disinflation may not be as costly with respect to a loss in aggregate product as earlier versions of Phillips curve would indicate. However, finding a good proxy for real economic activity has proved to be a difficult task. In particular we demonstrated that results are conditional on how the measure is calculated, some measures even showed countercyclical behaviour. This issue -- in the thesis discussed only in passing -- is a subject of future research. In addition to the proposed strategy and provided parameter estimates the thesis brings some partial simulation-based findings. Simulations elaborate on earlier literature on naive bootstrap in GMM context and study performance of bootstrap modifications of unit root and KPSS test.
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Comparation of Alterantive Policy Rules in a Structural Model of the Czech Republic
Hledík, Tibor ; Tomšík, Vladimír (advisor) ; Kodera, Jan (referee) ; Komárek, Luboš (referee)
The main goal of this thesis has been a study of alternative policy rules in a small structural model calibrated to capture the Czech economy. After the overview of the historic development of economic theory and structural modeling we have specified a small open economy model that has served as a main technical tool for the analysis. The model represents a framework, where forward-looking model-consistent expectations are formed with respect to the development of the exchange rate and interest rates. Inflation expectations are forward looking too with some nominal rigidities in inflation dynamics. The model's structure is relatively simple. The IS curve captures the dynamics of real GDP, that exhibits real rigidity, motivated by habit formation or investment adjustment costs. In our specification the real GDP is a function of (the deviation of) real XR, real IR and foreign demand (from corresponding equilibrium levels). The Phillips-curve is based on the F-M type wage setting behavior, therefore it enables to consider domestic prices, that are modeled as mark-ups over wages. CPI inflation then consists of domestic, imported and administered inflation, including the effect of any indirect taxes changes. The exchange rate is modeled by the UIP arbitrage condition. Exchange rate expectations are forward-looking, but with some inertia in expectation formation. Interest rates with one year maturity are also modeled as an arbitrage condition on the money market, they are fully model-consistently forward looking. The model is closed by a Taylor-type forward-looking policy rule. The interest rate exhibits some inertia and feeds back from deviation of inflation from target and output from its equilibrium. The specification (parameterization) of the rule is general enough to examine CPI and domestic inflation targeting. The model specification has been followed by empirical work leading towards the implementation of the previously specified model on Czech data. Based on the sources of the Czech Statistical Office, Czech National Bank, Consensus Economics Inc., we first processed the data by executing seasonal adjustment and other transformations necessary for being consistent with the definition of model variables. The database has been created by an automatic MATLAB based routine, therefore the calculations were relatively easy to update. The database being completed, we have set up a Kalman-filter for determining equilibrium values for the real interest rate, exchange rate and output. At the same time through Kalman filtering we identified all model residuals. We paid special attention to the decomposition of the output gap and discussing In order to assess the overall dynamic properties of the model and judge how well the model fits the data, we conducted several exercises. First we decomposed some of the important endogenous variables of the model to shocks to see, whether the identified shocks are in line with our intuition and episodes of the recent Czech economic history. We found, that the shocks are not in contrast with some of the clearly distinguishable episodes. After the shock decomposition we run in-sample simulations to see, how well the model is able to fit the reality two years ahead. We found the overall results quite encouraging. We were able to fit quite well the output gap as well as MP inflation. Domestic inflation has been slightly more inertial in model simulations than in reality, but even in this case the results were acceptable. The model was not able to fit the 2001-2 appreciation of the nominal XR footnote{Understandably it neither forecasted well the fast fall in inflation after the appreciation period.}, which is not a big surprise. The model calibration part of the thesis concludes, that the model fits the data and economic story reasonably well.
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Macro-finance modeling of yield curve - Czech analysis
Škop, Jiří ; Mandel, Martin (advisor) ; Kodera, Jan (referee) ; Komárek, Luboš (referee)
This doctoral thesis devotes itself to macro-finance models of the Czech yield curve that enable the modeling of the yield curve as a whole and belong to the group of multi-factors models. These factors are unobservable or latent variables, and are intuitively called level, slope and curvature. Macro-finance models not only fit the yield curve through the use of latent factors, but they also try to provide a macroeconomic interpretation. The macro part of the model uses a type of VAR model, where the macroeconomic variables are endogenous or exogenous, or some macroeconomic model based on e.g. a New Keynesian economy. Such a type of models can answer (1) how the macroeconomic variables affect the yield curve, and, on the other hand, (2) how these macroeconomic variables are affected by the yield curve. The EUR/CZK exchange rate and the external environment play an important role in the Czech small open economy (in particular, developments in the eurozone and the impact of global investors' sentiment toward risky assets). Thus, we should take this into consideration when applying to Czech data. It has been shown that temporary macroeconomic and financial shocks (to inflation, output gap, EUR/CZK exchange rate, external demand, etc.) strongly affect the short end of the yield curve; however, longer spot rates react only marginally. The longer end of the curve may move more significantly in the case of a longer duration of the above-mentioned shocks (thus affecting inflationary expectations) or in the case of shocks to the inflation target and real equilibrium interest rates.
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Měnová politika a její synchronizace s fiskální politikou: vliv na hospodářský růst a inflaci
Řežábek, Pavel ; Schwarz, Jiří (advisor) ; Holman, Robert (referee) ; Komárek, Luboš (referee) ; Šimáček, Milan (referee)
The dissertation deals with the interplay of fiscal and monetary policy in face of uncertainty about the estimation of the true output gap. Theoretical framework of the dissertation set this interplay of monetary and fiscal policy into the realm of game theory, in particularly non-cooperative games of the Nash and Stackelberg equilibrium, respectively. The theoretical framework continued with a description of various methods used for estimation of potential output and output gap, with a special emphasis on methods used in both the Czech National Bank and Czech Ministry of Finance. In the applied part of the dissertation, I studied the interplay of monetary and fiscal policy in the case of Czech economy facing an uncertainty about the estimation of the true output gap. I studied the impact of this interplay on major macroeconomic variables and I tried to determine, which of these two policies plays the role of a leader and which plays the role of a follower in the case of Czech economic environment.
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Locked in Maastricht
Zavacká, Veronika ; Komárek, Luboš (advisor) ; Mandel, Martin (referee)
Diplomová práca si kladie za ciel zhodnotit menový systém ERM II. Podla niektorých súcasných autorov nie je jeho design zvolený optimálne v dvoch smeroch. Prvým problémom sú rovnovážne efekty charakteristické pre tranzitívne ekonomiky, ktoré majú tendenciu vytvárat inflacné tlaky a tak potenciálne komplikovat plnenie Maastrichtského inflacného kritéria. Druhým problémom sú vysoké a potenciálne volatilné kapitalové prílivy, ktoré jednak možu tento problém zhoršovat a navyše v rámci striktných Maastrichtských limitov možu viest k makroekonomickej nestabilite. Práca sa venuje analýze oboch problémov.
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