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Impacts of the Euro Adoption in the Czech Republic
Svačina, David ; Maršál, Aleš (advisor) ; Malovaná, Simona (referee)
DSGE models are as structural models capable of estimating what would have happened if some part of economy or shocks to it had been different. We consider three such differences in the recent Czech history: no financial shocks during the crisis in 2008-2009; eurozone membership during the crisis in 2008-2009; and no foreign exchange interventions of the Czech National Bank in November 2013. For this purpose, we employ a small open economy DSGE model with financial frictions and estimate it with Bayesian inference. Our results show that impact of financial shocks on GDP growth was negligible. Further, eurozone membership would have made crisis more severe; GDP growth in 2009Q1 would have been -6% instead of -3% and economy would have been in deflation for the five consecutive periods. Difference is explained by strong depreciation of exchange rate during crisis that would not have occurred with the fixed exchange rate. Lastly, the Czech National Banks's foreign exchange interventions increased GDP growth by as much as 0.8 percentage point and saved economy from deflation in all following quarters. They worked through depreciation of exchange rate and consequent improvement in trade balance and increase in price of imported goods. Powered by TCPDF (www.tcpdf.org)
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Asset Prices in a DSGE Model with Financial Frictions
Kučera, Adam ; Maršál, Aleš (advisor) ; Zelený, Tomáš (referee)
The thesis examines the ability of DSGE models with financial elements to explain financial asset prices. A neoclassical macroeconomic model is used, in- cluding a financial constraint in the form of a restriction on external financing. Moreover, the strictness of the restriction is affected by an external financial shock. It is shown, that the combination of the financial constraint and the fi- nancial shock contributes to understanding of the macroeconomic fluctuations, asset price dynamics and their mutual impact. The calibration for the United States demonstrates that the financial shock is an important source of the as- set price volatility. Contrary, when calibrated to the Czech data, the financial shock generates only moderate asset price volatility, as a consequence of a posi- tive correlation with the productivity shock. To address the issue, the model is further extended by a sector of financial intermediaries and a preference shock related to the risk-aversion of economic subjects, and the extension is shown to improve the result.
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Competing currencies as an alternative scenario to legal tender clause: Mathematical proof
Gawthorpe, Kateřina ; Stroukal, Dominik (advisor) ; Nikolovová, Pavla (referee)
Previous literature examining the scenario without the constraint of legal tender law is a rather theoretical analysis of the subject matter. Aside from the theoretical examination of the competition of money this paper offers dynamic structural macroeconomic model based on the money in the utility function. This model compares the current monetary conditions with the potential situation permitting more currencies circulating alongside. The main assumption about individuals' preferences over stable currencies underlines the whole paper with emphasis on the mathematical model. The uniqueness of this model lies in the incorporation of variables affecting respective money demand functions into the utility function of the DSGE model and in the purpose of its use as well as its variables, where representative agent is a household owning a bank rather than a firm. Overall the results of this paper favor the idea of exclusion of the legal tender law in a developed country without severe turmoil. Particularly, the ascent of competition among currencies leads to lower inflation than present scenario. However, final simulations of the model in Matlab supplements such so far "unambiguous" view with skepticism due to possible difficulties during discovery process in such scenario.
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