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Kvantitativní uvolňování měnové politiky a jeho vliv na ceny komodit / Quantitative Easing and its impact on commodity prices

The main focus of this thesis rests in the assessment of the quantitative easing policy impact on commodity prices and prices of commodity derivatives in the US. Several VAR models have been constructed in this paper to capture the relations between time series of monetary policy variables and commodity markets indices. The impulse-response analysis applied in the VAR models has discovered the causal connection between the QE policy and the value of commodity indices. The official announcement of initiation (extension) of the policy of the QE policy and its realization consisting of purchases of vast amount of treasury securities and federal agency debt and MBS has lead to the major commodity indices increase. Since this fact has been overlooked by Fed so far, its acceptance might enhance the realization of possible future QE policy and the valuation of the QE as a monetary policy alternative in conditions of zero-bound.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:114456
Date January 2011
CreatorsJakl, Jakub
ContributorsHurník, Jaromír, Potužák, Pavel
PublisherVysoká škola ekonomická v Praze
Source SetsCzech ETDs
LanguageCzech
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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