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The Czech exchange rate floor: Depreciation without inflation?
Baxa, Jaromír ; Šestořád, Tomáš
After the introduction of an exchange rate commitment and an immediate 7% depreciation of the Czech koruna of in 2013, output growth resumed but inflation remained low. Consequently, the Czech National Bank did not return policy to normal for more than three years. Using a time-varying parameter VAR model with stochastic volatility, we show that this was not surprising. The exchange rate pass-through to prices had been rather low and gradually decreasing since the early 2000s, suggesting limited potential effects of the exchange rate commitment on inflation. On the other hand, the pass-through to output growth increased. These results hold even when the period of the exchange rate floor and the zero lower bound is excluded from the sample, and they are robust to other sensitivity checks. Our results are consistent either with a flattened Phillips curve, or rising quality of the Czech exports and participation in global value chains, or a small effect of the exchange rate commitment on inflation expectations when not paired with temporary price-level targeting. Moreover, we highlight the usefulness of models accounting for time variation of parameters for policy analysis.
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Unconventional Monetary Policy Tools - Description and Evaluation of their Efficiency
Bandžak, Denis ; Hlaváček, Michal (advisor) ; Buliskeria, Nino (referee)
This thesis examines the role of unconventional monetary policy tools during and after the global financial crisis with a particular focus on three main parts - their description, implementation and efficiency. By introducing a thorough discussion based on both past and most recent papers on this topic, we provide an updated view on the classification of individual unconventional monetary policy tools which is often used inaccurately by the current literature. We further enrich the discussion by describing different strategies which central banks used before and after the global financial crisis along with the future plans and tendency of central banks in monetary policy. We conclude the thesis by our own analysis of the effects of quantitative easing on GDP and CPI using a Bayesian vector autoregression model with sign restrictions applied on Japan, the Eurozone, the UK and the US. We find a more pronounced and significant effect of quantitative easing on GDP and CPI for the UK and the US than for the Eurozone and Japan. Nevertheless, our findings have to be considered with utmost care as the model is very simplified and sensitive to the parameters chosen. Keywords: Monetary Policy, Unconventional Monetary Policy Tools, Quantitative Easing, Bayesian Vector Autoregression
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The most significant phases of the monetary policy of the Czech National Bank
Krahulcová, Iveta ; Koderová, Jitka (advisor) ; Revenda, Zbyněk (referee)
The diploma thesis deals with the analysis of the most significant phases of the monetary policy of the Czech National Bank, including the analysis and evaluation of its effectiveness from its origin to the present. The thesis is divided into three individual parts. Each part corresponds to a specific transmission mechanism applied by the Czech National Bank while implementing the monetary policy. Each chapter includes the assessment of the effectiveness of individual approaches and the analysis of the impact of the monetary policy as well as the decision of the Czech National Bank on the Czech economy. The very first chapter is focused on the application of the monetary transmission mechanism in conditions of the fixed exchange rate during which an increasing internal as well as external disequilibrium led to the monetary crisis. The second chapter is dedicated to the transition to the inflation targeting, expert discussion concerning its implementation and the evaluation of the achieved results. The last chapter presents the use of the CNB's additional instrument of the monetary policy in the form of the exchange rate including the reasons that led to this step. The closing part of this chapter focuses on the evaluation of the effectiveness of this policy.
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Deflation and monetary policy
Vošková, Martina ; Koderová, Jitka (advisor) ; Kaimova, Nadira (referee)
The thesis aims to explain different theoretical approaches to definition of deflation, categorize deflation, define positive and negative connotations typical for each economical school, define the role of monetary policy in relation to price stability and monetary instruments with an emphasis on unconventional. The last part applies theoretical knowledge on Swiss situation, describes the interventions between years 2009 and 2016 and presents their initially predicted and subsequently real, graphically illustrated impact on economy. The theoretical part of diploma concludes that mainstream economy perception is the most suitable for definition of deflation, therefore perceive it as a negative phenomenon and calls for elimination. Each step of SNB monetary policy was controversial. The author opens the question of the necessity of intervention from 2009, explains the reasons of SNB steps from 2011 and exit strategy from 2015. However, the author do not forget on negative connotations. In the final part, thesis outlines the most discussed topics raised by Swiss interventions and opens the topic of negative rates as unconventional monetary instrument.
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Foreign exchange risk management and changes of the exchange rate system of central banks
Sixtová, Kateřina ; Witzany, Jiří (advisor) ; Málek, Jiří (referee)
The bachelor thesis is focused on foreign exchange risk management used by households, firms and banks. The thesis deals with how the hedging against foreign exchange risk depends on the exchange rate system in particular countries. The first chapter is an introduction to foreign exchange market and its current trends. The second part consists of management of foreign exchange position by particular participants on the FX market. In the third part of the thesis are described the functions and competence of a central bank involving FX operations. The last part focuses on the exchange rate of czech koruna. The main goal is to give a recommedation to the Czech national bank regarding its future exchange rate system and to analyze of the possible impact of the development of the exchange rate of koruna on participants on the czech FX market. The outcome of the thesis consists of two possible suggestions to CNB, involving the immediate end of the exchange rate commitment or its prolonging until the adoption of the euro.
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The impacts of foreign exchange interventions on economy of the Czech Republic
Koblížková, Petra ; Žamberský, Pavel (advisor) ; Šaroch, Stanislav (referee)
The main aim of this thesis is to evaluate both short term and long term impact of foreign exchange interventions, which were initiated by Czech central bank in November 2015, on the Czech economy. The first part of the text deals with theoretical aspects of the thesis, especially with the role of central bank and exchange rate, and with the historical development of both the monetary policy in the Czech Republic and Czech crown. Second part of the work investigates the causes that have led to the initiation of intervention régime and tries to clarify whether the triggering was truly justified. The main part of the thesis deals with the launch of interventions itself and also with the short term and longterm impacts on macroeconomic indicators. The end of the work is dedicated to a discussion of intervention regime exit, both to the time aspect and possible scenarios.
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