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On the Role of Exogenous Shocks in the Great Recession: the Evidence from Belarus
Ramanchyk, Nina ; Baxa, Jaromír (advisor) ; Polyák, Oliver (referee)
In this thesis we provide evidence about the relative importance of foreign (Russian) and domestic monetary policy shocks for Belarusian economy. We employ a ten variable structural VAR model with block exogeneity and a set of dummy variables introduced to deal with instability of the data that corresponds to the periods of crises (2008 and 2011). We find that Belarus is significantly influenced by foreign shocks that account for 20 to 60 percent of fluctuations in domestic variables in the long run. The foreign demand and oil prices for Belarus are the main determinants of the domestic output and net export, while the foreign interest rate strongly affects Belarusian interest rate, money demand and the share of loans in GDP. Regarding the domestic monetary shocks, we find that the exchange rate is the most important channel in the Belarusian monetary transmission mechanism. We conclude that deeper trade integration with Russia could be beneficial for Belarusian economy, while in case of the monetary union creation the conduct of an independent monetary policy in Belarus could be further complicated.
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High Frequency Identification of Monetary Policy Shocks in Sweden
Němčík, Erik ; Baxa, Jaromír (advisor) ; Kočenda, Evžen (referee)
Current effectiveness and functioning of one of the key instruments of monetary policy, the interest rate, has been debated around the world with an increasing intensity. Sweden, specifically, characterized by a recent low inflation period coupled with an experimental approach to monetary policy (utilizing both negative interest rates and quantitative easing) presents a peculiar case of interest. This thesis presents new evidence on the monetary policy transmission in Sweden during the low inflation period. To convey this, it utilizes the Proxy-SVAR method, where data from financial markets are used to identify monetary policy shocks and their propagation through the financial and macroeconomic variables. In particular, STINA-swaps are used as an instrumental variable in our main model of interest. The results strongly suggest dampened effectiveness of the repo rate, the Riksbank's main interest rate tool, in achieving the inflation target over the past decades. Price puzzle is present in all model variations applied and hence hints at the inability of the Swedish central bank to effectively control inflation via interest rate decisions. It is important to state that the results are robust to multiple econometric specifications, different inflation setups or estimation methods. Furthermore, the...
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On the Role of Exogenous Shocks in the Great Recession: the Evidence from Belarus
Ramanchyk, Nina ; Baxa, Jaromír (advisor) ; Polyák, Oliver (referee)
In this thesis we provide evidence about the relative importance of foreign (Russian) and domestic monetary policy shocks for Belarusian economy. We employ a ten variable structural VAR model with block exogeneity and a set of dummy variables introduced to deal with instability of the data that corresponds to the periods of crises (2008 and 2011). We find that Belarus is significantly influenced by foreign shocks that account for 20 to 60 percent of fluctuations in domestic variables in the long run. The foreign demand and oil prices for Belarus are the main determinants of the domestic output and net export, while the foreign interest rate strongly affects Belarusian interest rate, money demand and the share of loans in GDP. Regarding the domestic monetary shocks, we find that the exchange rate is the most important channel in the Belarusian monetary transmission mechanism. We conclude that deeper trade integration with Russia could be beneficial for Belarusian economy, while in case of the monetary union creation the conduct of an independent monetary policy in Belarus could be further complicated.
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