Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

Results found: 2

first rewind previous Page / 1 next fast forward last

Search results

help Sort By:

help Limit search:
first rewind previous Page / 1 next fast forward last
1

NON-LINEAR MONETARY POLICY MODELLING WITH GOVERNMENT DEBT AS A THRESHOLD: THE CASE OF THE CZECH REPUBLIC

100%
Bikár M., Hodula M.
Ekonomický časopis (Journal of Economics)
|
2018
|
vol. 66
|
issue 6
561 – 579
EN
In this paper, we examine the extent to which monetary policy might be constrained by the evolution of government indebtedness. We employ a threshold vector auto regression (TVAR) model to capture the possible asymmetries in the relationship between monetary policy and the real economy, corresponding to a switch between low and high growth rates of the government debt-to-GDP ratio. The analysis is performed on Czech data over the 2001 – 2016 periods. The results show that the reaction of a central bank to macroeconomic shocks can be regime-dependent. We find that a rising government debt could constrain monetary policy, which manifests through an altered monetary policy transmission to the real economy. Overall, our study demonstrates the advantages of using a non-linear approach to study the fiscal and monetary policy interactions.
2

STOCK MARKET PRICE INDICES MODELLING BY A SMALL SCALE BAYESIAN VAR: THE CASE OF BRITISH FTSE AND GERMAN DAX INDEX

100%
Bikár M., Hodula M.
Ekonomický časopis (Journal of Economics)
|
2016
|
vol. 64
|
issue 8
737 – 750
EN
This article examines the behaviour and responses of stock market indices to various macroeconomic determinants by using small scale Bayesian VAR model. Our objective is to investigate the extent to which various macroeconomic shocks contribute to changes in stock market conditions. We focus on the German DAX 30 index and British FTSE 100 indices which serve as indicators for the development of the German and British economy as well as an illustration to evaluate the performance of the model. We have confirmed the general view that BVAR model outperforms a standard VAR model when the forecasting accuracy improved from 5% to 12%. We have also confirmed that any increase in risk-premium negatively influences stock markets in both case studies. However, the structure of the economies and capital also makes a difference, as found from different market reactions to supply shock.
first rewind previous Page / 1 next fast forward last
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.