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Comparison of Monetary Policy in Case of FED and ECB
Ptáčník, Václav
The purpose of the thesis is to assess the impact of monetary policy upon economic performance in the euro area and The United States. The research focuses on differences in responsiveness of real output of economies on money supply and real interest Rate. The responsiveness is examined using Granger causality. The thesis proves whether money supply and real interest rate granger causes real output in the United States and euro area. Also monetary policy itself is described and compared using structural breaks in time series, Taylor rule, Galí rule and Mankiw rule. The empirical results are compared to each other and indicate that there has been differences in performing monetary policy in the United States and euro area; nevertheless responsiveness on monetary policy is in both economies very similar.
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Search of the most suitable method of estimation of output gap for the czech economy
Kloudová, Dana ; Brožová, Dagmar (advisor) ; Mirvald, Michal (referee) ; Lukáš, Ladislav (referee)
By monetary policy decisions, central banks use output gap to keep macroeconomic variables at their natural levels. A substantial disadvantage of this variable is the fact that it is an unobservable variable which is very problematic to measure, although it is possible to estimate it with various methods of estimation. This thesis aims to find the most suitable method of estimation for Czech economy. Thirteen methods have been chosen for this aim: linear trend, quadratic trend, HP filter, band-pass filters, robust trend, univariate unobserved component model, two types of production function, two SVAR models, multivariate HP filter and multivariate unobserved component model. Own estimations have shown that estimated trajectories of unobservable states were not identical. For own selection of the most suitable method of estimation, quantitative (ability to forecast inflation ,a growth of product and data revisions by selected national and international organisations) and qualitative criterions (qualities of methods of estimation, transparency and easy application) have been selected, where emphasis was put on quantitative criterions. Results of this thesis will show that the most suitable method of estimation output gap for Czech economy is multivariate unobserved component model.
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Empirical analysis of Okun’s law in Iceland
Zajíček, Zdeněk ; Slaný, Martin (advisor) ; Chytilová, Helena (referee)
This thesis deals with empirical analysis of Okuns law in Iceland. Okuns hypothesis of negative relationship between real GDP and the rate of unemployment is being tested on two models, difference and gap, using OLS estimation. Also there are two filtration methods used (Hodrick-Prescott and Baxter-King) for gap model estimation. The results of all models showed weak relationship of variables, but proved the hypothesis. In the following part, the same procedure is being used on Finlands data, to get comparison of coefficients. Results for Finland showed weaker bond of variables than in Iceland, but the Okuns hypothesis still holds. Last part is focused on finding the sensitivity of rate of unemployment to changes in added value of each economical sector in Iceland using the production approach model. This model gave inconclusive results due to insufficient data available.
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Comparison of monetary policies of the ECB and selected European national banks in the crisis period
Niederle, Tomáš
This diploma thesis investigates the impact of monetary policy upon economic performance in the Eurozone, the Czech Republic and Poland. The research focuses on differences in sensitivity of output on money supply in form of monetary aggre-gates M1 and broader M2 and Real Interest Rate calculated from the EURIBOR, PRIBOR and WIBOR. The sensitivity is examined using Granger causality. The the-sis proves whether money supply and real interest rate granger causes real output in the Eurozone, the Czech Republic and Poland. Also monetary policies of the se-lected central banks are described and compared using Taylor monetary rule.
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Comparison of Monetary Policy in Case of FED and ECB
Ptáčník, Václav
The purpose of the thesis is to assess the impact of monetary policy upon economic performance in the euro area and The United States. The research focuses on differences in responsiveness of real output of economies on money supply and real interest Rate. The responsiveness is examined using Granger causality. The thesis proves whether money supply and real interest rate granger causes real output in the United States and euro area. Also monetary policy itself is described and compared using structural breaks in time series, Taylor rule, Galí rule and Mankiw rule. The empirical results are compared to each other and indicate that there has been differences in performing monetary policy in the United States and euro area; nevertheless responsiveness on monetary policy is in both economies very similar.
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