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(How) Does low inflation in euro area affect inflation in the Czech Republic?
Veselý, Vladimír ; Horváth, Roman (advisor) ; Kočenda, Evžen (referee)
The goal of this thesis is to identify domestic and foreign shocks that mostly explain variation in the Czech price level. This goal is accomplished by the use of structural vector autoregression. As the Czech Republic is considered to be a small open economy, it is crucial to include foreign variables into the model which are represented by shocks in euro zone. Furthermore, a block exogeneity restriction is imposed because it is unlikely that shocks in the Czech economy can influence macroeconomic development in euro zone. The results of the thesis indicate that foreign shocks explain 70% variability in Czech price level out of which 50% is explained by euro zone's price level shocks. It is likely that in near future Czech economy will experience deflation for a while. Nevertheless, by 2018 Czech inflation rate should be in 1-3% band.
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(How) Does low inflation in euro area affect inflation in the Czech Republic?
Veselý, Vladimír ; Horváth, Roman (advisor) ; Kočenda, Evžen (referee)
The goal of this thesis is to identify domestic and foreign shocks that mostly explain variation in the Czech price level. This goal is accomplished by the use of structural vector autoregression. As the Czech Republic is considered to be a small open economy, it is crucial to include foreign variables into the model which are represented by shocks in euro zone. Furthermore, a block exogeneity restriction is imposed because it is unlikely that shocks in the Czech economy can influence macroeconomic development in euro zone. The results of the thesis indicate that foreign shocks explain 70% variability in Czech price level out of which 50% is explained by euro zone's price level shocks. It is likely that in near future Czech economy will experience deflation for a while. Nevertheless, by 2018 Czech inflation rate should be in 1-3% band.
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Terms of trade: impact on the czech international trade and economic growth in 2005 - 2015
Dulovec, Adam ; Zamrazilová, Eva (advisor) ; Šimíček, Petr (referee)
The thesis is focused on the changes in the terms of trade in Czech international trade in the term of from 2005 to 2015, as the period after the Czech Republic joined the European Union. The terms of trade are an important indicator of the benefits and loses of international trade. The main aim is to analyze the changes of terms of trade, the causes of their changes, and the impact on the real economy. The direction of the overall terms of trade index was highly unsettled, and did not actually generated additional gains in the economy not over the reporting period. The overall terms of trades were most influenced by the price development of two groups of the Standard International Trade Classification, Crude materials and lubricants, and machinery and transport equipment. The prices of Crude materials and lubricants are determined mainly by changes in the oil prices. These were very volatile in the reporting period, the especially the collapse of the prices in both 2009 and 2014-2015, had a significant impact on the import prices of the Czech economy. The thesis also analyzes the impact of exchange rate on the international trade prices, in the period since November 2013, i.e. after the Czech National Bank has committed to maintain the rate of Czech koruna against the Euro above the level of 27 CZK/EUR, which helped to protect the economy from deflations and enhance the economic growth. The effect of the weak crown, that favored the Czech exporters, however a faded over time.
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Monetární politika ČNB v prostředí nízkých úrokových sazeb
Naš, Ondřej
Diploma thesis deals with evaluating effectiveness of CNB monetary policy in a low interest rate environment. First part of the thesis focuses on identification of monetary policy transmission channels and alternative monetary practices rec-ommended for use in a low inflation environment. Next part of the thesis focuses on qualitative analysis of the impacts of CNB monetary policy between years 2008 to 2015 on inflation rate. These impacts are then quantified by correlation and regression analysis. Based on results of qualitative and quantitative analysis it was concluded, that the effectiveness of CNB policy was low, due to inefficiencies in transmission mechanism and high dependence on foreign economic develop-ment. Based on the conclusion, a recommendations for future monetary policy were made.
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Aplikácia indikátora ekonomického sentimentu v prostredí malej otvorenej ekonomiky
Ružbaská, Monika
The application of the economic sentiment indicator in the environ-ment of the small open economy. Bachelor thesis, Brno, Mendel University, 2015. Bachelor thesis is oriented on possible utilization of the economic sentiment in-dicator, which is one of the sources for management decision-making and planning. The analysis is examined in the environment of the small open economy, in this case the economy of Slovak Republic. The final recommendation of the application of the eco-nomic sentiment indicator in the decision process is achieved through time-series analy-sis aimed at identifying joint development of indicators of economic activity and the subjective perception of economic operators.
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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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Exchange rate during crisis
Tran Thi, Anh Phuong ; Pošta, Vít (advisor) ; Rusmichová, Lada (referee)
The aim of this thesis analysis of exchange rates development during financial crisis of 2008 in the case of selected currency pairs. The thesis is focused primarily on empirical analysis of exchange rate movements in small open economies, namely the Czech Republic, Poland and Hungary. The theoretical part is devoted to balance of payments, exchange rate theories and economic crises 2008. The analytical part is devoted to the effects of major macroeconomic indicators on exchange rate development and empirical verification of major fundamental theories of exchange rate. The work explores the possible causes of fluctuations in exchange rates during recent crisis and their impact on the real economy.
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Nezávislost přijímání monetárních opatření ČNB na monetární politice ECB
Opletalová, Marcela
The diploma thesis deals with the independence of monetary policy of the Czech National Bank on the monetary policy of the European Central Bank. The content of thesis is to allocate and subsequently analyze zones in which foreign monetary policy can influence and restrict realization of monetary policy in small open economy. The aim of thesis is to assess extent of dependency of decision making process of monetary policy CNB on monetary policy ECB. Conclusion and recommendations are formulated based on the results obtained of qualitative and quantitative analysis and comparison of particular monetary indicators.
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Endogenita peněz v měnových uniích a malých otevřených ekonomikách
Sedláček, Jaroslav
This thesis examines the nature of money in the monetary union and the small open economy. The first part describes the different theories that deal nature of money in economy. Thoroughly discussed here post-Keynesian approach from which is the assumption of endogeneity of money primary based. The empirical part of the thesis is based on the individual theoretical approaches, where are defined the default causal relationship between selected variables. These relationships are tested on real quarterly data in Euro area in the period 1998-2013 and in the Czech Republic in the period 2002-2013. Analysis of collected data was performed by using vector autoregression models, namely Granger Causality. Causal relationships are detected between loans, GDP, money supply and monetary base. From obtained results were made recommendations for monetary policy makers in the Czech Republic and Euro area.
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Evaluating the Links Between the Financial and Real Sectors in a Small Open Economy: The Case of the Czech Republic
Konečný, Tomáš ; Babecká Kucharčuková, Oxana
In this paper we use a battery of various mixed-frequency data models to forecast Czech GDP. The models employed are mixed-frequency vector autoregressions, mixed-data sampling models, and the dynamic factor model. Using a dataset of historical vintages of unrevised macroeconomic and financial data, we evaluate the performance of these models over the 2005–2012 period and compare them with the Czech National Bank’s macroeconomic forecasts. The results suggest that for shorter forecasting horizons the accuracy of the dynamic factor model is comparable to the CNB forecasts. At longer horizons, mixed-frequency vector autoregressions are able to perform similarly or slightly better than the CNB forecasts. Furthermore, moving away from point forecasts, we also explore the potential of density forecasts from Bayesian mixed-frequency vector autoregressions.
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