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Voting in central banks: An empirical analysis
Jonášová, Júlia ; Horváth, Roman (advisor) ; Fišerová, Tereza (referee)
The aim of the thesis is to assess informative power of the voting records of central banks. The research concentrates on the following aspects: predictability of future repo rate changes based on the voting records in longer horizons, level of disagreement in Monetary policy committee (MPC) and financial markets' expectations, comparison between results of the analysis before and during the financial crisis and weighting every vote according to attendance of the policymaker. The results confirm that voting records are, indeed, informative about future monetary policy changes and can increase predictability of the particular central banks. Negative dispersion coefficient for the Bank of England (BoE) and Czech National Bank (CNB) suggests that increase in uncertainty stimulates looser monetary policy. For the BoE and Riksbank voting records signal the change of the repo rate approved also at the further meetings, which is partially true for the Czech Republic and Poland. Regarding the period of financial crisis, it is shown that markets heavily rely on the minutes as the source of knowledge and the magnitudes of the estimate for the skew coefficient are much higher. The effect of experience is present in the case of CNB and National Bank of Poland (NBP).
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What It Means and How It Is Approached by Financial Regulators
Fišer, Ondřej ; Sejkora, Tomáš (advisor) ; Kohajda, Michael (referee)
The thesis covers the topic of sustainable finance regarding its terminology, policy strategies and overall goals. In addition, it specifically deals with the way sustainable finance is perceived by central banks and other financial market regulators. The first chapter explains terms like "ESG investing," "positive finance," "socially responsible investment, "principles for responsible investing" "or "green finance" and points out the differences between them. The second chapter concerns with sustainable finance policy strategies adopted both by private businesses and public institutions. Mentioned are, among others, the types of ESG screening methods used by investors, the EU Green Taxonomy, the EU Shareholders' Rights Directive and its framework, the European Green New Deal or the concept of a sustainable fiduciary duty principle. It also touches on sustainable, green taxation in the shape of carbon taxes or emission trading schemes. The third chapter explores the objectives sustainable finance try to meet, specifically the ones having to do with climate change. The chapter entails a summary of the potential climate change scenarios as laid out by the Intergovernmental Panel on Climate Change. The fourth chapter deals with the role that central banks can play in sustainable finance as they gradually step...
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Do Central Bank FX Reserves Matter for Inflation?
Keblúšek, Martin ; Havránek, Tomáš (advisor) ; Holub, Tomáš (referee)
01 Abstract Foreign exchange reserves are a useful tool and a buffer but maintaining an amount that is too large can be costly to the economy. Recent accumulation of these reserves points to the importance of this topic. This thesis focuses on one specific part of the effect of FX reserves on the economy - the inflation. I use panel data for 74 countries from the year 1996 to the year 2017. There is a certain degree of model uncertainty for which this thesis accounts for by using Bayesian model averaging (BMA) estimation technique. The findings from my model averaging estimations show FX reserves to not be of importance for inflation determination with close to no change when altering lags, variables, when limiting the sample to fixed FX regimes nor when limiting the sample to inflation targeting regimes. The most important variables are estimated to be a central bank financial strength proxy, exchange rate depreciation, money supply, inflation targeting, and capital account openness. These results are robust to lag changes, prior changes, and for the most part remain the same when Pooled OLS is used.
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Behaviorální chování v rozhodovacích procesech centrálních bank
Bureš, Jakub
I apply interest rate rules, especially Taylor rule, to identify basic determinants of the central banks decision-making process. And particularly interest rate FED, ECB, exchange rates, inflation, GDP The results confirmed herding behavior related to the central bank financial assets and its economic power in the US and Eurozone. The conclusions are discussed in relation to the Exchange rate movements and capital flows.
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Zhodnotenie dopadu nominálnych negatívnych úrokových sadzieb na agregátny dopyt
Pastorek, Daniel
Insufficient economic growth and low inflation are troubling many developed countries in the context of the economic crisis of 2008 and its influence. Central banks were forced to help governments to stimulate their economies and accomplish the main goal, price stability. To achieve this stimulus, central banks have taken range of conventional and non-conventional steps depending on dif-ferences between economies, goals, status or degree of independence. The main goal of this bachelor thesis is to take measure of change in the consumption, in-vestments and government spending in Eurozone, Japan and Sweden, after the introduction of nominal negative interest rates. The task of the empirical part was to identify potential structural breaks in time series of the investigated variables after introduction of the negative nominal rates. Significant stimulus was not proven among the data, but we can observe indirect effects of the negative nomi-nal interest rates.
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Aktivita a pasivita centrálních bank v průběhu krizí
Muzikář, Jakub
Bachelor thesis aims at function of central banks while applying interest rates and characterizing active and passive central bank. Thesis examines reaction function of central banks on inflation and output gap. Central banks are in this thesis de-scribed by monetary objectives in historical perspective, monetary instruments with which central banks are trying to meet monetary targets and central banking models. Thesis also uses Taylor rule to examine relation between character of monetary policy and macroeconomic variables. Based on results provided by analysis central banks are differentiated to active and passive ones.
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Three Essays on Central European Foreign Exchange Markets
Moravcová, Michala ; Horváth, Roman (advisor) ; Komárek, Luboš (referee) ; Baumohl, Eduard (referee) ; Pappas, Vasileios (referee)
This dissertation thesis consists of three essays on new EU foreign exchange markets (FX), i.e. the Czech koruna, Polish zloty and Hungarian forint. In the first two essays, the impact of foreign macroeconomic news announcements and central banks' monetary policy settings on the value and volatility of examined exchange rates is analyzed. In the third chapter, the conditional comovements and volatility spillovers on new EU FX markets is examined. The aim of this thesis is to contribute to the existing empirical literature by providing new evidence of the examined currencies during periods, which have not been examined yet (after the Global financial crisis (GFC), during the EU debt crisis and during currency interventions in the Czech Republic). The first essay (Chapter 2) examines the impact of Eurozone/Germany and US macroeconomic news announcements and monetary policy settings of the ECB and the Fed on the value of new EU member states' currencies. It is a complex analysis of 1-minute intraday dataset performed by event study methodology (ESM). We observe different reactions of exchange rates in pair with the US dollar on the US macroeconomic announcements and Euro-expressed FX rates on Germany macro news during the EU debt crisis and after it. We also provide evidence of leaking news, showing...
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Central Bank Communication and Systemic Stress
Pokorná, Anna ; Horváth, Roman (advisor) ; Jakubík, Petr (referee)
This thesis aims to examine the effect of European Central Bank's (ECB) oral communication on the financial systemic stress in the euro area. It considers ad-hoc speeches and interviews by the members of the ECB Governing Coun- cil as well as official press conferences between July 2008 and January 2014. The empirical analysis tests the effects of communication intensity and senti- ment and whether they differ in different stress regimes. Regression results of ARIMA based models and Threshold auto-regressive model suggest that oc- currence of official press conference increases the systemic stress, sentiment of communication matters only in the case of the ad-hoc speeches and interviews, but mainly that both the official and unofficial oral communication have a con- siderably stronger effect in periods of heightened systemic stress. Although the estimated effects are rather small, this thesis provides support for the hypoth- esis that ECB communication can affect the systemic stress. i
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Analysis of deflationary factors in the Czech Republic in years 2008-2016. Was the CNB's decision to start intervene on foreign exchange markets well-founded?
Krampera, Tomáš ; Ševčíková, Michaela (advisor) ; Munzi, Tomáš (referee)
The decision of the Czech National Bank to initiate interventions on foreign exchange markets on 7th November 2013 based on an alleged threat of deflation induced a significant professional debate about the legitimacy of such a step as well as the phenomenon of deflation itself. The aim of this paper is to evaluate the development of Czech economy before and after the interventions using a macroeconomic and econometric analysis. That includes identifying potential deflationary factors, which are then put into context of good and bad deflation characteristics. Further analysis is to determine whether foreign exchange interventions were a justified step. This bachelor paper also mentions the characterization of different viewpoints on deflation, the evolution of opinions from a historical perspective and the description of low-inflation development abroad. The final part of this paper identified low inflation in Eurozone and the prices of oil as the main deflationary factors, both of which matching good and bad deflation characterization. I find CNBs foreign exchange interventions as an unfounded step.
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