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Beveridge-Nelson decomposition and its applications
Masák, Štěpán ; Prášková, Zuzana (advisor) ; Lachout, Petr (referee)
In this work we deal with the Beveridge-Nelson decomposition of a linear process into a trend and a cyclical component. First, we generalize the decom- position for multidimensional linear process and then we use it to prove some of the limit theorems for the process and its special cases, processes VAR and VARMA. Further, we define the concept of cointegration and introduce the po- pular VEC model for cointegrated time series. Finally, we show a method how to deal with infinite sums appearing in calculation of the Beveridge-Nelson decom- position and apply it to real data. Then we compare the results of this method with approximations using partial sums.
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Beveridge-Nelson decomposition and its applications
Masák, Štěpán ; Prášková, Zuzana (advisor) ; Lachout, Petr (referee)
In this work we deal with the Beveridge-Nelson decomposition of a linear process into a trend and a cyclical component. First, we generalize the decom- position for multidimensional linear process and then we use it to prove some of the limit theorems for the process and its special cases, processes VAR and VARMA. Further, we define the concept of cointegration and introduce the po- pular VEC model for cointegrated time series. Finally, we show a method how to deal with infinite sums appearing in calculation of the Beveridge-Nelson decom- position and apply it to real data. Then we compare the results of this method with approximations using partial sums.
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Monetary Transmission Mechanism: A Closer Look Inside the Black Box
Dvořák, Martin ; Vácha, Lukáš (advisor) ; Lypko, Vyacheslav (referee)
The recent economic and financial turmoil has led central banks around the world to heavily utilize unconventional monetary policy measures. Unconventional in this sense means a deflection from traditional central bank policy measures, i.e. interest rate innovations. Although these measures were widely discussed, the uniformed, coherent and comprehensive framework of such measures is still missing. The aim of this thesis is to establish the framework for possible classification of such policies together with transmission channels to the real economy. The empirical part examines the impacts of unconventional policies on real data using vector autoregression and vector error correction models. This analysis is based on monthly data period between 1999 and 2013, which is strongly affected by implementation of the unconventional policies in its second half. The last section examines the possible future of these policies as a normal instrument of central banks and describes their main challenges and shortcomings. JEL classification: C32, E40, E44, E50, E52, E58, E60 Keywords: Unconventional monetary policy, Interest rate, Decoupling principle, Balance sheet policy stratification, Quantitative easing, Channels of transmission, Vector Autoregression, Vector error correction model Author's e-mail:...
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Přeshraniční dopady fiskálních politik
Maleček, Petr ; Kadeřábková, Božena (advisor) ; Janíčko, Martin (referee) ; Beck, Jiří (referee)
This study seeks to analyse and quantify cross-border effects of discretionary fiscal policies from two major points of view. The aggregate approach rests on the use of the structural vector autoregression model (SVAR) and its extension, the global vector autoregression model (GVAR). The discretionary fiscal impulse itself is then defined as a change in cyclically adjusted balance of the government sector, calculated at quarterly frequencies. This section is then complemented by a case study of a single measure: the German car scrapping scheme during 2009 and its effects on the Czech economy. It was found that cross-border effects of discretionary fiscal policies may be indeed present, in case certain conditions are met. Importantly, a fiscal impulse has to originate from a sufficiently large economy and there needs to be a tight trade linkage between examined countries. In most cases, cross-border effects have also been found of lesser magnitude than direct impacts of fiscal policies on the domestic country. Finally, as demonstrated on the German-Czech case, even a single fiscal measure can trigger substantial cross-border spillovers. It was estimated that this measure positively contributed to real GDP growth in 2009 in the Czech Republic by 0.44 pp.
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