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U.S. Monetary Policy and Bank Liquidity Creation: VAR Evidence
Lacko, Branislav ; Horváth, Roman (advisor) ; Žigraiová, Diana (referee)
With recent financial crisis the importance of liquidity not only as indicator of financial health of banks heightened. Thus this thesis aims the focus to relationship between real economy and bank liquidity creation, and provides empirical evidence of significant relationship between bank liquidity creation and GDP or inflation. Moreover, it shows that implementation of bank liquidity creation indicator into Taylor rule, in order to address for financial stability and health, is suitable alternative for financial stress index.
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Bank Liquidity Creation and Real Economy: VAR Analysis
Hálová, Klára ; Horváth, Roman (advisor) ; Kruchynenko, Ihor (referee)
In this thesis we examine the interactions of bank liquidity creation and real economy using vector autoregression model. We selected inflation, unemployment rate and interest rate as basic economic variables which theoretically could influence bank liquidity creation. We decided to examine the reverse relationship whether bank liquidity creation has a significant impact on real economy. We study these interactions using data from Czech Republic within ten-year period from 2000 to 2010. Our results suggest that macroeconomic fluctuations have a significant impact on bank liquidity creation. The results also support our reverse hypothesis that higher liquidity creation can improve macroeconomic conditions.
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Transmission Lags of Monetary Policy: A Meta-Analysis
Havránek, Tomáš ; Rusnák, Marek
The transmission of monetary policy to the economy is generally thought to have long and variable lags. In this paper we quantitatively review the modern literature on monetary transmission to provide stylized facts on the average lag length and the sources of variability. We collect 67 published studies and examine when prices bottom out after a monetary contraction. The average transmission lag is 29 months, and the maximum decrease in prices reaches 0.9% on average after a one-percentage-point hike in the policy rate. Transmission lags are longer in large developed countries (25–50 months) than in new EU member countries (10–20 months). We find that the factor most effective in explaining this heterogeneity is financial development: greater financial development is associated with slower transmission. Moreover, greater trade openness in new EU member countries seems to be associated with faster transmission. Our results also suggest that researchers who use monthly data instead of quarterly data report systematically faster transmission. JEL
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