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Low Interest Rates and Asset Price Fluctuations: Empirical Evidence
Ali, Bano ; Horváth, Roman (advisor) ; Vácha, Lukáš (referee)
The thesis focuses on estimating the effect of expansionary monetary policy concerning asset prices, specifically house and stock prices as they are of pri- mary importance in financial markets. A structural vector autoregressive model is used including data for the Euro Area, the United Kingdom, and the United States from 2007 to 2017. Moreover, instead of short-term nominal interest rate, the shadow policy rate is used to measure the stance of both conventional and unconventional monetary policy. It is useful when policy rates of central banks are at or near zero as it neglects the zero-lower bound. Using both impulse response functions and forecast error variance decomposition, results suggest that higher interest rates are indeed associated with lower asset prices. That is confirmed by including two different estimates of shadow rates into the model and observing the effect for two specific types of assets. More precisely, house prices react almost immediately showing the most substantial decrease for the United Kingdom, while stock prices slightly increase at first and de- crease afterward with similar size of the effect for all areas under consideration. Finally, the discussion of how the monetary authority should react to asset price fluctuations is provided, summarizing the vast amount of literature...
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The Determinants of central banking transparency: An Empirical Analysis
Ulrich, Tomáš ; Horváth, Roman (advisor) ; Jeřábek, Jakub (referee)
This thesis examines the central banking transparency and financial stability communication. The main goal is to find the determinants of the updated Monetary policy transparency index and the index for financial stability trans- parency, which cover 110 countries during the period 2000-2011. We analyse the individual components of transparencies and perform regression models with the set of economic and political variables in order to find drivers of all aspects of transparency. As a basic observation we verified the increasing trend in both types of transparencies during last two decades. We found out that economi- cally well developed countries with flexible exchange rates, quality government and stable political institutions tend to be more open about their monetary policies. Moreover, high degree of monetary policy transparency and the occu- rance of past systemic banking crisis implies higher openness of central banks about financial stability issues. The drivers of Financial stability transparency index components display significant variations, especially variables like rule of law or past financial distress. It is concluded that financial stability trans- parency is still a young field of study and many central banks are still in the developing phase of learning. Keywords central banking,...
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Two Essays on Inflation Targeting
Matějů, Jakub ; Horváth, Roman (advisor) ; Koprnická, Kamila (referee)
The thesis consists of two essays on inflation targeting. The hrst essay examines how do centrál banks set their inflation targets. Survey of centrál banks' communication regard-ing the target is presented, theoretical model is developed and finally empirical analysis is conducted on a panel of inflation targeting countries. This pioneering analysis of the topič leads us to conclusion that inflation targets are influenced by more variables than centrál banks admit. In addition to past and foreign inflation, inflation variability and GDP growth we find significant impact of centrál bank credibility and other institutional factors. The short second essay surveys literatúre assessing performance of inflation targeting and outlines perspectives of inflation targeting as a monetary policy framework. The conclusion is that if inflation targeting centrál banks stick to their best practice in transparency and communication and remain open to innovations, inflation targeting will háve a good chance to score well even in the periods of turmoil.
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Kvantitatívne uvoľňovánie v Japonsku a jeho dopad na HDP
Balážová, Jana
During the period known as Two Lost Decades Japan suffered by weak economic growth, deflation and negative output gap. By the end of 2012, Shinzo Abe was elected as prime minister of Japan and his plan so called Abenomics included extensive quantitative easing by Bank of Japan, fiscal consolidation and structural reforms. Quantitative easing included a significant increase of monetary base and its goal was to achieve the 2% inflation target. It should have encouraged the private consumption and closed the output gap. The aim of this paper is analysis of macroeconomic indicators related to quantitative easing and finding whether inflation and real GDP have increased and the output gap has been closed or not.
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Ekonomická krize a role Evropské centrální banky
Staněk, Dominik
The thesis provides an evaluation of monetary policy of the European central bank during the last financial crisis, mainly by using the Taylor rule. Different modifications of the Taylor rule will be compared and the best version will be used for an estimation of desired interest rate of member states of the eurozone. It will allow to compare their preferences with monetary policy of the European central bank.
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Dopad monetárnej politiky Českej národnej banky na automobilový priemysel
Maslo, Frederik
The bachelor thesis deals with the impact of monetary policy on the automotive industry in the Czech Republic. The testing includes 62 firms of the Czech automotive industry in the period from 2006 to 2015. The monitored effects are verified by panel regression. The resulting findings are compared with the results of the existing empirical studies.
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Vliv monetární politiky na investiční aktivitu firem v zemích V4
Růžičková, Elena
Růžičková, E. The influence of monetary policy on firm investment activity in countries of V4. Diploma thesis. Brno: Mendel University, 2019. The aim of this thesis is to determine the influence of monetary policy on firm investment activity in the automotive industry in countries of V4, together with the further verification of the influence of other company-specific characteristics. The analysis uses the panel data of microeconomic character, which was drawn from the Amadeus database in the period from 2006 to 2015. As an independent variable representing the influence of monetary policy, a 12-month interest rate PRIBOR, BRIBOR, EURIBOR, BUBOR and WIBOR, representing each of states, was chosen. Other independent variables were selected as company-specific characteristics. Net fixed assets have been chosen as a dependent variable, which can be used to express investment in fixed assets. The models for selected countries will verify the influence of monetary policy on the development of investment activity in the selected industry.
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Adekvátnost informací Česká národní banky při zajišťování finanční stability
Le Viet, Cuong
The bachelor thesis deals with the adequacy of the information of the Czech National Bank in fulfilling its basic functions with a focus on ensuring financial stability. The work is based on information that individual central banks publish on their official websites. In order to meet the main goal of this thesis, we have defined the term "financial stability" and have formulated important information to ensure financial stability. In the last step, we chose the method of comparing the methodology of data collection and data range with central banks of the Czech Republic, Eurozone, USA, Great Britain and Japan. The benefit of this work is the evaluation of the current data collection and data type at the Czech National Bank. At the same time, it provides insight into new opportunities in data collection and data type and use in the direction of ensuring financial stability.
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Vplyv monetárnej politiky centrálnych bánk na komerčné bankovníctvo v Českej republike a Nemecku
Bulková, Martina
This bachelor thesis is divided into the theoretical and practical part. Theoretical part informs about essential terms from monetary policy, central and commercial banking and through graphical elements evaluate the impact of central bank´s instruments on the banking sector. In practical part is on real data using statistical methods analysed the relation between the central bank and interbank market and commercial banking. Further is analysed the impact of monetary policy of central bank on the banking sector. In the last part is compared the development and structure of the banking sector´s profit in both countries.
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Vliv politického režimu na zpoždění v hospodářské politice
Filla, Adam
Bachelor thesis focuses on impact of political regime on lags in economic policy. The lags of economic policy, its causes and consequences has been defined at the beginning of the thesis. This part of the thesis also describes forms of government and its characteristics. Next part consists of case studies for selected countries, which are focusing on description of political regime and length of implementation lags of fiscal and monetary policy. The selected countries are compared based on case studies outputs. Impact of political regime on lags in economic policy is described in conclusion together with suggestions for future research.
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