Work detail

Monetary policy approaches at the ZLB to solve post-crisis situation and their effectiveness

Author: Bc. Magdalena Hummelová
Year: 2016 - summer
Leaders: PhDr. Michal Hlaváček Ph.D.
Work type: Bachelors
Language: English
Pages: 56
Awards and prizes:
Abstract: This thesis describes monetary policy tools implemented by central
banks whose main monetary policy rates at some point after 2008 global
economic crisis hit the zero lower bound. Central banks considered in
this study are the Fed, the ECB, the SNB and the CNB. A smaller effectiveness
analysis of the macroeconomic effects using a simple vector
autoregressive (VAR) model is provided as well. The model is inspired by
similar study of Gambacorta et al. (2012). With the use of monthly data
over the sample period, the VAR tries to quantify the impact an increase
in a central bank’s balance sheet has on the main economic indicators—
real output, consumer prices and implied volatility indices in the financial
markets. Some of the results are comparable to those of the reference
study mentioned above. This applies to the output results in a sense
that the balance sheet shock has a slightly significant temporary effect on
it. On the contrary, responses of the implied volatility indices and prices
are less significant (or insignificant) and not at all comparable with the
reference study. With some exceptions, there are no major discrepancies
between individual country results in spite of different monetary policies


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