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Důvody dlouhodobě nízkých úrokových sazeb České národní banky
Urbanová, Daniela
The bachelor thesis deals with the modification of the reaction function of the Czech National Bank by using modified Taylor rule. This rule was introduced in 1993 by US economist John Taylor as a rule of the interest rate. The financial instability is associated with rapid growth of credit activity and rapid growth of asset prices and the period after financial crisis is associated with the reluctance of banks to provide loans. Besides traditional variables of Taylor rule the instability of credit loans provided by commercial banks was included and the effect of this variable on repo rate of the CNB was examined especially after financial crisis. The observed period is from January 2001 to December 2016. The main part of the theoretical part is dedicated to monetary policy of the Czech National Bank and channels of the transmission mechanism, monetary policy rules, the environment of low interest rates in context of liquidity trap and the financial instability.
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Three Essays on Empirical Analysis of Economic Policy
Baxa, Jaromír ; Vošvrda, Miloslav (advisor) ; Vašíček, Osvald (referee) ; Hančlová, Jana (referee) ; Slačálek, Jiří (referee)
This dissertation thesis is focused on the empirical analysis of monetary and fiscal policy using nonlinear models. In the first part, I examine the evolution of monetary policy rules in a group of inflation targeting countries. I apply a moment-based estimator in a time-varying parameter model with endogenous regressors. The main findings are twofold. First, with adoption of inflation targeting, coefficients in the monetary policy rules changed rather gradually. Second, the response of interest rates to inflation is particularly strong during periods when central bankers want to break a record of high inflation. Contrary to common view, the response of interest rates to inflation becomes less aggressive after the adoption of inflation targeting, suggesting a positive anchoring effect of this regime on inflation expectations. The second part discusses whether and how the selected central banks responded to episodes of financial stress over the last three decades. The time-varying monetary policy rule is extended for an indicator of financial stress, in order to show the departures of policy rules under financial instability. The findings suggest that central banks often decrease policy rates in the face of high financial stress. However, the size of the policy response varies substantially over time as well...
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Measuring Financial Instability: A Survey
Urbánková, Jana ; Baxa, Jaromír (advisor) ; Kolouchová, Petra (referee)
This thesis aims to analyze how various theoretical definitions describe and assess financial stability, and how these definitions are actually being reflected in the measurement methods used to evaluate financial stability. The first section lists different theoretical approaches to defining financial stability, extrapolates main components that characterize these approaches, and compares these approaches based on the components. The thesis continues with a description and critical assessment of financial stability measurement methods. Special attention is paid to financial conditions and financial stress indexes, which are compared based on actual data for the United States. The last section explores to what extent these components are compatible with financial stability measurement methods listed in the previous section. This thesis also points out that most methods measure financial instability, as opposed to financial stability, perhaps because instability is less abstract and, thus, more convenient for an effective measurement. The thesis concludes that recent quantitative assessments of financial stability are real time assessments rather than strong predictive indicators of financial (in)stability and, thus, they do not offer policymakers enough time and information for timely policy...
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Indikátory finanční nestability v USA a EU
Glovčík, Michal
The diploma thesis deals with financial stability and its indications. In the theoretical part is firstly described the evolution of theory of money in order to clarify the role of money in financial stability. After that the financial instability is defined according to the authors Borio and Lowe (2002) as a rapid credit expansion combined with strong growth in asset prices. The mutual relationship of credit and asset prices is examined, especially how the credit creation of money can contribute to the creation of asset price bubbles. Empirical part analyses the possibility to use volumes of credit and asset prices to indicate financial instability. The empirical analysis is performed on the time series of the volume of credit, residential property prices and stock indices for the USA and the Eurozone. At first the tightness of relationship of credit and asset prices is examined by the rolling correlations and it is followed by testing Granger exogeneity to reveal causal links. Based on the results of the empirical analysis the recommendation for monetary authorities is made regarding the indication of financial instability.
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Financial instability in the USA in years 2007 - 2008: Implications for future economic development, regulation and financial sector supervision
Růžička, Jan ; Stuchlíková, Zuzana (advisor) ; Popovová, Marie (referee)
The aim of my bachelor's work is to highlight the reasons and causes of the origin of mortgage crisis, its effects and to propose possible solutions. The first part of my work analyses the economic development of the USA since 2000 to 2008 as well as factors and subjects contributing to the current financial instability. Among them are ranked the "subprime lending", securitization process, rating agencies and off-balance sheet accounting. The second part is deeply concerning with American authorities for regulation and financial market supervision. Primarily are analyzed The U. S. Securities and Exchange Commission and their, in connection with financial crisis, taken measures. The final part of my papers is devoted to the future economic development of the USA and already taken measures for boosting the economy by the US Government. At the very last end of my work I suggest some solutions in the economic policy area.
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