In an effort to examine role of capital markets' efficiency in transmission of monetary policy, 28 time series of market efficiency development are estimated with use of long-term memory and fractal dimension measures and a panel of 27 inflation targeting countries is constructed to run a random effect regres- sion. The cases of Czech Republic and Austria are thereafter more closely examined with use a vector-autoregressive and threshold vector-autoregressive frameworks on macroeconomic data spanning from 1996:Q3 to 2018:Q4. The evidence obtained through the conducted analyses support the hypothesis, that a more efficiently functioning capital market better contributes to monetary policy pass-through, or conversely, that high transaction costs, barriers to cap- ital market entry, or poor information availability may hinder the effects of central bank's monetary policy. JEL Classification F12, F21, F23, H25, H71, H87 Keywords capital market efficiency, inflation targeting, monetary transmission mechanism Author's e-mail teddy.krejci@gmail.com Supervisor's e-mail LK@fsv.cuni.cz

CHARLES UNIVERSITY FACULTY OF SOCIAL SCIENCES Institute of Economic Studies Essays on monetary policy Abstract Author: Mgr. Jan Žáček Advisor: doc. Mgr. Tomáš Holub, Ph.D. Academic year: 2020/2021 Abstract The dissertation thesis consists of three research papers in the field of mone- tary policy. All three papers connect the same topic - monetary policy rules. The first two papers focus on monetary policy rules augmented with finan- cial variables from a theoretical point of view, while the third paper provides international empirical evidence on the monetary policy conduct taking into account financial cycle developments. In the first paper I employ a small-open economy dynamic stochastic gen- eral equilibrium (DSGE) model to examine whether the central bank's direct reaction to asset prices or credit-to-GDP ratio brings macroeconomic benefits in terms of lower volatility of inflation and output. I find that direct reaction to asset prices can be beneficial for a central bank; however, the result holds only for some domestic shocks. When facing shocks originating abroad, the usefulness of the augmented monetary policy rule deteriorates. Overall, the performance of the rule augmented with asset prices is shock-dependent, and therefore, any strict rule-like behaviour for a central bank operating within a...

L’objet principal de cette thèse est la reconsidération du rôle de la politique monétaire dans uneéconomie caractérisée par l’hétérogénéité des agents et leur apprentissage en rationalité limitée. Ce travail sesitue dans le prolongement d’une littérature qui se développe depuis les années 1980 sur le prise en comptede l’apprentissage des agents dans l’appréciation des conséquences des politiques monétaires (Sargent (1993),Evans & Honkapohja (2001)). La thèse vise à développer cette littérature en mobilisant une modélisation entermes de systèmes complexes (voir Miller & Page (2007)) et en l’appliquant à l’analyse des régimes de ciblagede l’inflation, en mettant notamment l’accent sur le rôle de l’ancrage des anticipations d’inflation. En partantdes modèles analytiques établis dans la littérature (voir Woodford (2003b)), la thèse développe progressivementun cadre d’analyse utilisant une modélisation computationnelle à base d’agents. En explorant rigoureusementles principaux phénomènes qui émergent de ce cadre, la thèse aborde les questions de conception de politiquesmonétaires optimales et montre comment les interactions entre les mécanismes d’apprentissage et les caractéristiquesdes régimes de ciblage de l’inflation sont cruciales pour les performances de ce régime. / The main goal of this Ph.D. dissertation is to reconsider the role of monetary policy in a learningeconomy populated by boundedly rational and heterogeneous agents. This work is in the line with the growingliterature on learning and monetary policy, which has emerged since the eighties (Sargent (1993), Evans &Honkapohja (2001)). The dissertation aims at developing that literature through a complex system modelingstrategy (see Miller & Page (2007)), applying it to the analysis of inflation targeting regimes, and especiallyhighlighting the role of the anchor of inflation expectations. Starting from the analytic models available in theliterature (see Woodford (2003b)), the dissertation gradually develops a framework using agent-based modeling.While deeply exploring the emergent phenomena in that framework, the thesis raises the issue of the design ofoptimal monetary policy rules, and emphasizes how the interplay of learning mechanisms and inflation targetingregimes is crucial for the performances of that regime.

Thesis called "Monetary policy of Czech National Bank and the perspectives of acceptance of euro" is mainly focused on convergence process in Czech Republic. First part of the work consists of current monetary policy of Czech National Bank and characteristics of monetary cooperation development needed for Economic and monetary union establishment. Real convergence state evaluation and maastricht criteria discharging in Czech Republic are the main goals of the thesis. Current global financial crisis is shown in readiness of Czech Republic of EMU entering conclusions.

Este trabalho faz uma reconstituição histórica da política monetária praticada no Brasil desde a implementação do Plano Real, revisa uma determinada discussão teórica sobre o tema da taxa de juros brasileira e suas possíveis relações perversas com outras variáveis macroeconômicas, e apresenta um modelo para tentar captar esses possíveis efeitos perversos da política monetária, tais como descritos na maior parte dos trabalhos apontados na discussão teórica. No último decênio, a taxa de juros nominal doméstica sempre esteve acima dos 15% ao ano, sendo que em grande parte do período analisado, a taxa de juros real ficou acima deste patamar. Com efeito, essa condução da política monetária trouxe à tona determinados efeitos indesejados, tais como a contaminação do risco-País pela taxa de juros doméstica. Entre os principais resultados obtidos seguindo uma análise com base num modelo VAR em que se avaliam choques nas variáveis por meio de funções impulso-resposta generalizadas (GIR), encontra-se que o risco soberano brasileiro, no período pós-desvalorização cambial, tem como determinantes os fundamentos macroeconômicos, em particular variáveis fiscais, como a dívida líquida do setor público consolidado como proporção do PIB, e a participação da dívida externa como proporção da dívida total. Outro determinante do risco percebido de moratória é a taxa de juros nominal interna. Quanto mais elevada a taxa de juros, mais elevado o risco. Em terceiro lugar, um aumento da taxa de juros pode levar a uma desvalorização cambial, desde que as expectativas dos agentes sejam afetadas pelo aumento dos riscos provocados pela elevação dos juros. / This dissertation revisits the historical background of the monetary policy regime adopted in Brazil in the period after the implementation of the Real stabilization plan, addresses to a determined theoretical framework about the domestic interest rates and its possible undesired relations with other macroeconomic variables, and presents a model to capture these possible relations of monetary policy. In the last decade, domestic nominal interest rate have always been above 15% p.a., and in a significant period of time the real interest rate stood above this level. Therefore, the conduct of monetary policy has brought up some undesired effects, such as the contagion of the Country-Risk to the domestic interest rate. Amongst the main results obtained in this paper, using a VAR model in a Generalized Impulse Response (GIR) framework for the period after the adoption of the floating exchange rate regime, stands out that the sovereign risk of Brazil is determined by macroeconomic fundaments, especially fiscal variables such as the Net Debt of the Public Sector and the share of foreign debt in the total debt. Another significant determinant of the perceived risk of default is the domestic interest rate. The higher the domestic nominal interest rate, the higher the risk. Lastly, a domestic interest rate increase may take to exchange rate depreciation if expectations are affected by the augmented risk derived from the higher domestic interest rate.

Made available in DSpace on 2016-04-26T20:48:57Z (GMT). No. of bitstreams: 1 Fabiana de Lima Silva.pdf: 1204799 bytes, checksum: 2debd07debc80388308d2687d3f926c9 (MD5) Previous issue date: 2009-05-29 / This work analyzes the Brazilian experience with the inflation targeting system from 1999 to 2007 under the post keynesian perspective. For this purpose, the New Consensus in Macroeconomics, which supports the proposition and management of this system, is described as well as the implications for emerging economies. The second chapter presents the understanding of the post Keynesian monetary policy and its criticism to the inflation targeting system. Finally, this work analyzes the inflation targeting system in Brazil, considering the post Keynesian critique. It concludes that the system of inflation targeting achieved relative success in its goal of stability with negative implications in terms of output growth of domestic economy. In addition, this system presents anti-growth bias that shows itself even more exacerbated, given the peculiarities of the Brazilian economy / Este trabalho busca analisar a experiência brasileira com o sistema de metas de inflação no período de 1999 a 2007, sob a perspectiva pós-keynesiana. Para tanto, inicialmente é descrito o arcabouço teórico do novo consenso macroeconômico, que sustenta a proposição e gestão deste sistema, bem como suas implicações para as economias emergentes. Em seguida apresenta-se o entendimento da corrente pós-keynesiana sobre a política monetária e sua crítica ao sistema de metas de inflação. Por fim, faz-se uma análise do sistema de metas de inflação no Brasil, considerando a crítica pós-keynesiana. Concluise que o sistema de metas de inflação logrou relativo êxito em seu objetivo de estabilidade com implicações negativas em termos de crescimento do produto interno da economia. Adicionalmente, este sistema apresenta um viés anticrescimento que mostra-se ainda mais exacerbado, dadas as peculiaridades da economia brasileira

Este trabalho faz uma reconstituição histórica da política monetária praticada no Brasil desde a implementação do Plano Real, revisa uma determinada discussão teórica sobre o tema da taxa de juros brasileira e suas possíveis relações perversas com outras variáveis macroeconômicas, e apresenta um modelo para tentar captar esses possíveis efeitos perversos da política monetária, tais como descritos na maior parte dos trabalhos apontados na discussão teórica. No último decênio, a taxa de juros nominal doméstica sempre esteve acima dos 15% ao ano, sendo que em grande parte do período analisado, a taxa de juros real ficou acima deste patamar. Com efeito, essa condução da política monetária trouxe à tona determinados efeitos indesejados, tais como a contaminação do risco-País pela taxa de juros doméstica. Entre os principais resultados obtidos seguindo uma análise com base num modelo VAR em que se avaliam choques nas variáveis por meio de funções impulso-resposta generalizadas (GIR), encontra-se que o risco soberano brasileiro, no período pós-desvalorização cambial, tem como determinantes os fundamentos macroeconômicos, em particular variáveis fiscais, como a dívida líquida do setor público consolidado como proporção do PIB, e a participação da dívida externa como proporção da dívida total. Outro determinante do risco percebido de moratória é a taxa de juros nominal interna. Quanto mais elevada a taxa de juros, mais elevado o risco. Em terceiro lugar, um aumento da taxa de juros pode levar a uma desvalorização cambial, desde que as expectativas dos agentes sejam afetadas pelo aumento dos riscos provocados pela elevação dos juros. / This dissertation revisits the historical background of the monetary policy regime adopted in Brazil in the period after the implementation of the Real stabilization plan, addresses to a determined theoretical framework about the domestic interest rates and its possible undesired relations with other macroeconomic variables, and presents a model to capture these possible relations of monetary policy. In the last decade, domestic nominal interest rate have always been above 15% p.a., and in a significant period of time the real interest rate stood above this level. Therefore, the conduct of monetary policy has brought up some undesired effects, such as the contagion of the Country-Risk to the domestic interest rate. Amongst the main results obtained in this paper, using a VAR model in a Generalized Impulse Response (GIR) framework for the period after the adoption of the floating exchange rate regime, stands out that the sovereign risk of Brazil is determined by macroeconomic fundaments, especially fiscal variables such as the Net Debt of the Public Sector and the share of foreign debt in the total debt. Another significant determinant of the perceived risk of default is the domestic interest rate. The higher the domestic nominal interest rate, the higher the risk. Lastly, a domestic interest rate increase may take to exchange rate depreciation if expectations are affected by the augmented risk derived from the higher domestic interest rate.

A presente dissertação tem por objetivo estimar o grau de impacto da política monetária sobre alguns agregados monetários, tendo foco principalmente na evolução das taxas de inflação e no produto agregado. Para tanto, é discutida a estrutura teórica do Novo Consenso Macroeconômico, que fundamenta o Regime de Metas de Inflação (RMI), e apresentadas as características deste regime. Com o objetivo de elucidar o RMI no Brasil, é exposto o ambiente macroeconômico em que ele foi implantado e as suas características. Sobre o debate da conveniência da adoção do RMI, adotamos uma perspectiva pós-keynesiana, apresentando as críticas desta escola do pensamento econômico a este regime monetário. Para o caso brasileiro, estas críticas vão em direção à concepção de inflação que fundamenta esse regime monetário, à forma institucional adotada e à política monetária. Com o objetivo de esclarecer melhor as origens e fundamentos do RMI e suas críticas, apresentam-se as principais teorias de inflação existentes dentro do debate econômico e os principais regimes monetários. Com respeito aos aspectos quantitativos relacionados ao objetivo principal, apresenta-se um breve histórico da inflação brasileira pós-1999, faz-se uma análise do comportamento dos principais índices de inflação, apresentam-se os índices de referência para a meta inflacionária utilizados pelos países que adotaram o RMI e, por fim, expõe-se o efeito passthrough. Em relação ao crescimento econômico brasileiro pós-adoção do RMI, apresentam-se dados comparativos da evolução do PIB e da inflação brasileira com a de outros países, que adotaram ou não este regime monetário. Também é descrito o mecanismo de transmissão da política monetária na economia brasileira. Por fim, mostra-se a evidência do canal da taxa de juros da política monetária para a economia brasileira, por meio de um modelo de correção de erros, Vector Error Correction (VEC). / This dissertation aims to estimate the impact of monetary policy on some monetary aggregates, and focus mainly on the development of inflation and aggregate output. To this end, we discuss the theoretical framework of the New Macroeconomic Consensus, who moved the inflation targeting regime (RMI), and presented the characteristics of this regime. In order to elucidate the minimum wage in Brazil is exposed to the macroeconomic environment in which it was implemented and its characteristics. Debate on the desirability of the adoption of the RMI has adopted a post-Keynesian perspective, presenting the criticism of this school of economic thought in this monetary regime. For the Brazilian case, these criticisms go toward the design of inflation that underlies the monetary regime, the institutional form adopted and monetary policy. In order to clarify the origins and rationale of the RMI and its critics, presents the main existing theories of inflation in the economic debate and the main monetary regimes. With respect to quantitative aspects related to the main objective, we present a brief history of the Brazilian inflation after 1999, it is an analysis of the behavior of core inflation indices, we present the benchmarks for the inflation target used by countries that adopted the RMI, and finally, it exposes the passthrough effect. For the Brazilian economic growth after adoption of the RMI presents comparative data on GDP development and inflation in Brazil with other countries that have adopted or not this monetary regime. Also described the transmission mechanism of monetary policy in the Brazilian economy. Finally, it shows evidence of channel interest rate monetary policy for the Brazilian economy by means of a model error correction, Vector Error Correction (VEC).

This thesis contains four chapters, each of which examines different aspects of the uncertainty facing monetary policymakers.''Monetary policy and market interest rates'' investigates how interest rates set on financial markets respond to policy actions taken by the monetary authorities. The reaction of market rates is shown to depend crucially on market participants' interpretation of the factors underlying the policy move. These theoretical predictions find support in an empirical analysis of the U.S. financial markets.''Predicting monetary policy using federal funds futures prices'' examines how prices of federal funds futures contracts can be used to predict policy moves by the Federal Reserve. Although the futures prices exhibit systematic variation across trading days and calendar months, they are shown to be fairly successful in predicting the federal funds rate target that will prevailafter the next meeting of the Federal Open Market Committee from 1994 to 1998.''Monetary policy with uncertain parameters'' examines the effects  of parameter uncertainty on the optimal monetary policy strategy. Under certain parameter configurations, increasing uncertainty is shown to lead to more aggressive policy, in contrast to the accepted wisdom.''Should central banks be more aggressive?'' examines why a certain class of monetary policy models leads to more aggressive policy prescriptions than what is observed in reality. These counterfactual results are shown to be due to model restrictions rather than central banks being too cautious in their policy behavior. An unrestricted model, taking the dynamics of the economy and multiplicative parameter uncertainty into account, leads to optimal policy prescriptions which are very close to observed Federal Reserve behavior. / <p>Diss. Stockholm : Handelshögskolan, 1999</p>

The main aim of this thesis is to explain the inflation dynamics in Turkey within a theoretically consistent empirical framework. The New Keynesian Phillips Curve (NKPC) is chosen as the basis model for our analysis because, by describing the inflation process within an intertemporal optimizing dynamic general equilibrium model, it provides a rigorous analytical groundwork for credible welfare and policy analysis. We have contributed to the literature by developing a NKPC formulation that is novel in the literature: A constant elasticity of substitution (CES) type of production function incorporating imported and domestically produced intermediate goods was combined with incomplete exchange rate pass through to import prices. The short-run inflation dynamics were analyzed within the context of this new specification by estimating the model&rsquo / s highly nonlinear structural parameters that capture the price-setting behavior in Turkey for period 1988:1 - 2009:4. Our findings suggest that this NKPC formulation can explain the 1994 and 2000-01 crises as well as the current environment of low inflation achieved with the adoption of the implicit and fully fledged inflation targeting regimes quite well. As a policy application we explored the effects of the inflation targeting framework adopted after the 2000-01 crises on the parameters characterizing the inflation process in Turkey. The subsample econometric results suggested that the inflation targeting framework applied was quite successful in decreasing inflation inertia in Turkey. Thus, should the success of the inflation targeting regime continue, this should be taken as an opportunity to reduce inflation substantially with very low output losses.