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Specifika kvantitativního uvolňování ECB a strategie exitu / Specifics of Quantitave Easing of ECB and exit strategyMatiáš, Marek January 2015 (has links)
Goal of master thesis Specifics of Quantitave Easing of ECB and exit strategy is to analyse monetary policy called Quantitative easing and its exit strategy. Largest part of thesis addresses this monetary policy on example of European central bank but there is also summary transmission mechanisms and opinions of effectivness of this monetary policy on examples of other central banks. On example of ECB this work describes process of quantitative easing. Also there is empicital analysis of impacts of purchases under Securities market programme on yields of goverment bonds. Result of this anylsis is finding that SMP was effective only partly, mainly at time of its announcement. Further the work analysis current balance sheet of ECB from the perspective of exit from quantitative easing concluding that ECB would be able to execute exit strategy to these days.
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Nekonvenční monetární politika po krachu Lehman Brothers / Unconventional monetary policy after the collapse of Lehman BrothersDragoun, Josef January 2013 (has links)
This diploma thesis is focused on unconventional monetary policy tools that individual central banks introduced into practise as a response to the global financial crisis. It is about quantitative easing policy, foreign exchange interventions with exchange rate commitment and negative interest rates. This thesis also deals with classical tools of monetary policy such as open market operations, discount tools, minimum requirement reserve or foreign exchange interventions. The aim of the thesis is to document the development of central banks policy and then to examine relationship of selected assets in comparison with balance sheet of Federal reserve systems with help of correlation coefficient. The thesis also deals with the thought how should behave in the zero lower bound environment and what are the pitfalls of unconventional monetary policy.
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Menová politika Federálneho rezervného systému v období finančnej a hospodárskej krízy / Monetary policy of the Federal Reserve System during financial and economic crisisBabušák, Martin January 2012 (has links)
The aim of the thesis is to evaluate the effectiveness of measures taken by the Federal Reserve System in response to the 2007 financial crisis that was later joined by economic crisis. It analyzes effects caused by modification of existing programs, creation of new credit programs, support of systemically important institutions by the Fed and programs of outright purchase of selected assets on the open market. The thesis also examines the behavior of the Fed in setting of a target interest rate in longer term, from 2000 to 2011. The thesis verifies the validity of the Taylor rule of monetary policy by using regression analysis. Appendix at the end of the thesis emphasizes the importance of the U.S. dollar in the current international monetary system and the associated implications for the external stability of the U.S. economy.
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Nestandardní měnová politika centrálních bank: kvantitativní uvolňování. / The central banks' non-standard monetary policy: quantitative easingČáp, Daniel January 2011 (has links)
The thesis deals with non-standard monetary policies of three central banks throughout the global financial crisis. The reason for using non-standard measures was also liquidity trap when monetary policy becomes ineffective. An important milestone was collapse of investment bank Lehman Brothers in September 2008. The central banks carried out some non-standard measures before the collapse such as the emergence of new or expanding existing facilities. However, after the collapse there was panic at the financial and capital markets and market interest rate spreads rose. Central banks were forced to respond to expanding its balance sheet and reducing the monetary policy rate to zero. The main reason for increasing total assets was securities purchases by central banks. The measure, which is expanding the balance sheet is called quantitative easing. In the thesis I try to describe and compare the non-standard measures (with a focus on quantitative easing) taken by the three central banks (Bank of England, the Fed and the ECB) and answer the question whether the measures are effective and whether they can replace the standard monetary policy.
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Monetary Policy in Troubled Times : Three Essays on Quantitative Easing in a Non-Linear Financial Environment / Politique monétaire en période de crise : Trois essais sur l’assouplissement quantitatif dans un contexte financier non-linéaireCargoët, Thibaud 03 July 2018 (has links)
Suite à la crise financière de 2007, les outils de politique monétaire conventionnelle se sont avérés insuffisants pour stabiliser l'économie et empêcher la diffusion de la crise financière. Les banques centrales ont de fait mis en place des politiques monétaires non conventionnelles. L’objectif de cette thèse est de participer à la compréhension théorique et empirique des politique monétaires non conventionnelles en concentrant nos efforts de modélisation sur la nature non-linéaire de la crise financière. Les deux premiers chapitres de cette thèse développent des modèles DSGE incorporant des contraintes de crédit occasionnellement saturées de manière à capturer la nature transitoire des phénomènes de crise. Dans le premier chapitre - obtenu dans un cadre d'économie fermée - un résultat notable est que les politiques d’assouplissement quantitatif diminuent bien l’amplitude de la crise, mais augmentent sa durée. Dans le deuxième chapitre, lorsque l’on implémente des programmes d’assouplissement quantitatif au niveau d'une union monétaire hétérogène constituée de deux pays, se pose le problème des hétérogénéités entre les pays membres de cette union. Nous trouvons qu’il est toujours plus intéressant pour la banque centrale de concentrer ses achats de titres dans les pays de l’union les plus touchés par la crise financière. De plus, un niveau intermédiaire d’intégration financière permet de minimiser les conséquences de la crise au niveau de l’union monétaire dans son ensemble. Dans le troisième chapitre, nous utilisons un modèle Markov-Switching VAR Bayésien pour comparer l’efficacité des politiques d’assouplissement quantitatif en période de crise et en période normale. Alors que les programmes d’assouplissement quantitatif sont particulièrement efficaces en période de crise, nous ne trouvons aucun effet significatif de ces programmes sur les variables macroéconomiques lorsque l'économie retourne à son état initial. / Following the 2007 financial crisis, conventional monetary policy tools prooved insufficient to stabilize the macroeconomy and to avoid a financial disruption. As a consequence, central banks relied more heavily on unconventional monetary policy tools. This thesis aims at contributing to the understanding of unconventional monetary policy tools, focusing on the inherently non-linear nature of financial crises. In the first two chapters, we use DSGE models with occasionally binding credit constraints to account for the transitory nature of financial disruption events. In chapter one, in the case of a closed economy, we find that quantitative easing decreases the magnitude of the crisis but increases its duration. Still, when looking for intertemporal effects of quantitative easing programs, it appears that they are always welfare improving. In chapter two, when implementing quantitative easing on a two country monetary union, comes the question of how to deal with heterogeneities between members. We find that it is always better to implement nationaly tailored quantitative easing programs. Finally, an intermediate degree of financial integration proves optimal to dampen the macroeconomic consequences of the financial crisis on the overall monetary union. In the third chapter, we use a Markov-Switching Bayesian VAR model to compare the efficiency of quantitative easing in normal times versus financial crisis times. While quantitative easing programs are highly efficient during financial crisis times, we find no significant effect of these programs when the economy goes back to normal times.
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Covid-19, quantitative easing, and the awakening of abnormal returns at the Swedish stock marketLindzén, Emily, Åhrman, Sofia January 2022 (has links)
This thesis aims to investigate to what extent the quantitative easing monetary policy tool, applied by the Riksbank, contributed to abnormal returns at the Swedish stock market during Covid-19. The chosen time period is 2007-2022, including the period before and after the implementation of quantitative easing in Sweden in 2015. Furthermore, the chosen time period includes two crises, the global financial crisis (GFC) and the Covid-19 crisis. Two artificial portfolios are created, one representing a high-risk portfolio and the other representing a low-risk portfolio. The thesis applies the ADL error correction model to estimate a potential relationship amongst QE and the returns for each of the computed portfolios. Results show a short-run relationship for both the high-risk and the low-risk portfolio. From the long-run perspective, there is only a relationship found concerning the high-risk portfolio. A modified CAPM-model is used as an interpretation when calculating abnormal returns, where the growth rate of industrial production reflects the expected return. Results show the presence of QE and abnormal returns for both portfolios during the time period of Covid-19, 2020-2022. / Denna uppsats syftar till att undersöka i vilken utsträckning Riksbankens kvantitativa lättnader bidrog till abnorm avkastning på den svenska aktiemarknaden under Covid-19. Den valdat idsperioden är 2007 – 2022, vilket inkluderar perioden före och efter genomförandet av kvantitativa lättnader i Sverige. Vidare inkluderar den valda tidsperioden två kriser, den globala finanskrisen samt Covid-19-krisen. Två artificiella portföljer konstrueras, där en representerar en högriskportfölj och den andra representerar en lågriskportfölj. Studien tillämpar en ADL error correction modell för att undersöka huruvida det existerar ett samband mellan kvantitativa lättnader och avkastningen för var och en av portföljerna. Resultaten visar ett kortsiktigt förhållande för både högrisk- och lågriskportföljen. Ur det långsiktiga perspektivet hittades endast ett samband för högriskportföljen. En modifierad CAPM-modell används vid beräkning av abnorm avkastning, där variabeln för den industriella produktionstillväxten reflekterar den förväntade avkastningen. Resultaten visar förekomsten av abnorm avkastning i samband de kvantitativa lättnader som genomfördes under Covid-19 för båda portföljerna under tidsperioden 2020–2022.
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The Time-Varying Correlation between Regional Home Prices and The Impact of Central Bank Balance Sheet Policies on Home Prices : A Graphical Descriptive Statistics Approach on The US Housing Market / Den tidsvarierande korrelationen mellan regionala bostadspriser och effekten av centralbanksbalansräkningspolicyer på bostadspriserna : En grafisk beskrivande statistisk metod på den amerikanska bostadsmarknadenMoros Martinez, Claudia Patricia January 2023 (has links)
There has been a growing interest in economic policies and their impact within a country among the real estate economics research community in recent years. After the economic crisis of 2008, an unconventional monetary policy was created, and it has been called quantitative easing (QE), an instrument of economic policy applied through central banks to boost the economy in periods when conventional monetary policy is not satisfactory. As with the economic challenge brought by COVID-19, many central banks had to implement unconventional monetary plans. This thesis aims to discover the impact of quantitative easing (QE) and its opposite quantitative tapering (QT) on the housing prices of the US real estate market. In order to deal with this problem, this research performs time-varying rolling correlations, which are correlations between two-time series on a rolling window. The window for this research will be monthly and subject to historical data points from a 280-month period of the USA metropolitan price housing and the Federal Balance sheet between 1998 and 2022. The results show there is a positive correlation between the different US housing markets and the US Federal Balance Sheet in the majority of the US markets analyzed and finds a high positive correlation between the different regional house price indices and US National Home Price Index and finally the existence of spillover effect between the cities in the high tier (e.g., Los Angeles and Miami) and low-tier (e.g., Chicago and Atlanta) cities, such that rising trends in one city are mirrored by the following changes in the other city in the equivalent tier and vice versa. / Under de senaste åren har det funnits ett växande intresse för ekonomisk politik och dess inverkan inom ett land bland den fastighetsekonomiska forskarvärlden. Efter den ekonomiska krisen 2008 har en okonventionell penningpolitik skapats och den har kallats kvantitativa lättnader (QE); ett ekonomiskt politiskt instrument som tillämpas genom centralbanker för att stärka ekonomin i perioder då den konventionella penningpolitiken inte är tillfredsställande. Liksom i fallet med den ekonomiska utmaning som covid-19 orsakade, var många centralbanker tvungna att genomföra okonventionella monetära planer. Denna avhandling syftar till att upptäcka effekten av kvantitativ lättnad (QE) och dess motståndare kvantitativ nedtrappning (QT) på bostadspriserna på den amerikanska fastighetsmarknaden. Som ett sätt att hantera detta problem utför denna forskning tidsvarierande rullande korrelationer som är korrelationer mellan två tidsserier på ett rullande fönster, fönstret för denna forskning kommer att vara månadsvis och föremål för historiska datapunkter från 280-månadersperioden i USA storstadspriserna bostäder och den federala balansräkningen mellan 1998 och 2022. Resultaten visar att det finns en positiv korrelation mellan de olika amerikanska bostadsmarknaderna och den amerikanska federala balansräkningen på majoriteten av de analyserade amerikanska marknaderna och finner en hög positiv korrelation mellan de olika regionala husprisindex och US National Home Price Index och slutligen förekomsten av spridningseffekter mellan städerna i städerna på hög nivå (t.ex. Los Angeles och Miami) och lågnivå (t.ex. Chicago och Atlanta), så att stigande trender i en stad speglas av följande förändringar i den andra staden i motsvarande nivå och vice versa.
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Nekonvenční měnové politiky v teorii a empirii / Unconventional monetary policy in theory and empirical evidenceLEXA, David January 2014 (has links)
The Diploma thesis deals with unconventional monetary policies,that important central banks used in order to cope with global financial and economic crisis in recent years. Goals of the paper is to introduce the most significant unconventional monetary policies, analyze their effectivity in selected countries (Japan, USA, Great Britain, eurozone and Czech republic), and statistically test impact of these nonstandard approaches on international trade.
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Efekty kvantitativního uvolňování v USA, Japonsku, Eurozóně a Velké Británii / The effects of quantitative easing on the USA, Japan, Eurozone and Great BritainNovoselova, Ksenia January 2017 (has links)
This master thesis aims to describe problematics of the effects of unconventional monetary policy, also known as quantitative easing, on economics of USA, Japan, Eurozone and Great Britain, by using empirical analysis of events related to quantitative easing and large BVAR model. In theoretical part of the thesis there are described transmission mechanisms of conventional monetary policy still effective in conditions of interest rates close to zero, as well as channels of unconventional monetary policy. Practical part of the thesis demonstrates analysis of impact of events related to quantitative easing in all the in-scope economics by applying a method of empirical observation of interest rates reactions on every event. Further, based on the received results of the empirical analysis, broader economic effects of quantitative easing are examined by using large BVAR model and afterwards the conclusion is made.
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貨幣同盟的三個議題 / Three essays on monetary union劉世夫, Liu, Shih Fu Unknown Date (has links)
自從2008年全球經濟衰退以來,歐元區經濟顯著的衰退,特別是歐元區各成員國的經濟表現有明顯的差異。在本文中,我們試就成員國「貿易開放程度」和「財政基本面」這兩個重要特徵,來詮釋歐元區經濟穩定這個議題。在第二章中,我們在貿易開放程度不同的國家下,比較貨幣同盟制度與浮動匯率制度對於負向衝擊產生的影響。我們發現當貨幣當局愈重視產出穩定時,相較於浮動匯率制度,貨幣同盟制度將使產出下降的更多。在第三章中,我們將短期私人債券及長期政府債券引入貨幣同盟的兩國DSGE模型。我們推斷,歐洲央行(ECB)的公共部門債券購買計劃(PSPP),對於不同財政狀況的成員國,有著不對稱的總體經濟影響。在第四章中,我們建立貨幣同盟經濟的最適貨幣政策模型。我們發現成員國間經濟差異,將影響貨幣同盟的整體福利水準。相較於傳統零利率最適貨幣政策文獻,本研究的結果顯示不論是權衡或承諾制度,增加公共部門債券購買將緩和貨幣同盟的經濟波動。 / Since the global recession in 2008, the economic performance of the Euro area has declined significantly. In particular, there have been great differences in the economic performance among member states in the Euro area. In this dissertation, we attempt to address the issue of economic stability by focusing on two key features: the trade openness and the fiscal fundamentals among member states. In Chapter 2, we compare the impacts of the adverse shocks on countries with different degrees of openness under the monetary union regime, and our finding shows that the monetary union will result in a greater decline in output if the monetary authority attaches a higher weight to output stabilization. In Chapter 3, we build a two-country DSGE model representing a monetary union with both short-term and long-term government bonds. We deduce that the ECB’s public sector purchase programme (PSPP) has asymmetric macroeconomic effects on member states under different fiscal fundamentals. In Chapter 4, we set up an optimal monetary policy model of a monetary union. We find that the differences in the economic performance of individual member states will influence the union-wide welfare. Comparing our results with classical literature of optimal monetary policy at zero lower bound, by adding the PSPP, our study indeed reflects lower volatility of the union-wide economy under either discretion or commitment.
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