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Monetary Policy and Macroprudential Policy: Rivals or Teammates?
Malovaná, Simona ; Frait, Jan
This paper sheds some light on situations in which monetary and macroprudential policies may interact (and potentially get into conflict) and contributes to the discussion about the coordination of those policies. Using data for the Czech Republic and five euro area countries we show that monetary tightening has a negative impact on the credit-to-GDP ratio and the non-risk-weighted bank capital ratio (i.e. a positive impact on bank leverage), while these effects have strengthened considerably since mid-2011. This supports the view that accommodative monetary policy contributes to a build-up of financial vulnerabilities, i.e. it boosts the credit cycle. On the other hand, the effect of the higher bank capital ratio is associated with some degree of uncertainty. For these and other reasons, coordination of the two policies is necessary to avoid an undesirable policy mix preventing effective achievement of the main objectives in the two policy areas.
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Bayesovský odhad DSGE modelů
Bouda, Milan ; Pánková, Václava (advisor) ; Kodera, Jan (referee) ; Lukáš, Ladislav (referee)
Thesis is dedicated to Bayesian Estimation of DSGE Models. Firstly, the history of DSGE modeling is outlined as well as development of this macroeconometric field in the Czech Republic and in the rest of the world. Secondly, the comprehensive DSGE framework is described in detail. It means that everyone is able to specify or estimate arbitrary DSGE model according to this framework. Thesis contains two empirical studies. The first study describes derivation of the New Keynesian DSGE Model and its estimation using Bayesian techniques. This model is estimated with three different Taylor rules and the best performing Taylor rule is identified using the technique called Bayesian comparison. The second study deals with development of the Small Open Economy Model with housing sector. This model is based on previous study which specifies this model as a closed economy model. I extended this model by open economy features and government sector. Czech Republic is generally considered as a small open economy and these extensions make this model more applicable to this economy. Model contains two types of households. The first type of consumers is able to access the capital markets and they can smooth consumption across time by buying or selling financial assets. These households follow the permanent income hypothesis (PIH). The other type of household uses rule of thumb (ROT) consumption, spending all their income to consumption. Other agents in this economy are specified in standard way. Outcomes of this study are mainly focused on behavior of house prices. More precisely, it means that all main outputs as Bayesian impulse response functions, Bayesian prediction and shock decomposition are focused mainly on this variable. At the end of this study one macro-prudential experiment is performed. This experiment comes up with answer on the following question: is the higher/lower Loan to Value (LTV) ratio better for the Czech Republic? This experiment is very conclusive and shows that level of LTV does not affect GDP. On the other hand, house prices are very sensitive to this LTV ratio. The recommendation for the Czech National Bank could be summarized as follows. In order to keep house prices less volatile implement rather lower LTV ratio than higher.
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The Macroeconomic Analysis with DSGE Models
Průchová, Anna ; Zouhar, Jan (advisor) ; Formánek, Tomáš (referee)
Dynamic stochastic general equilibrium models are derived from microeconomic principles and they retain the hypothesis of rational expectations under policy changes. Thus they are resistant to the Lucas critique. The DSGE model has become associated with new Keynesian thinking. The basic New Keynesian model is studied in this thesis. The three equations of this model are dynamic IS curve, Phillips-curve and monetary policy rule. Blanchard and Kahn's approach is introduced as the solution strategy for linearized model. Two methods for evaluating DSGE models are presented -- calibration and Bayesian estimation. Calibrated parametres are used to fit the model to Czech economy. The results of numeric experiments are compared with empricial data from Czech republic. DSGE model's suitability for monetary policy analysis is evaluated.
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