Work detail

Selected Aspects of Negative Interest Rates

Author: Bc. Šimon Repko
Year: 2017 - summer
Leaders: doc. Ing. Tomáš Cahlík CSc.
Consultants:
Work type: Bachelors
Language: English
Pages: 57
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/185526/
Abstract: Developed economies have been severely hurt over the last decade. Low inflation and
unbalanced growth forced authorities to implement unconventional measures like negative
interest rates. The unbalanced environment in financial markets is also visible on the commodity
market. The prices of commodities have already experienced second contraction over the last
decade. However, according to Frankel (2012) the changes in prices of commodities are heavily
determined by real interest rates. This thesis summarizes implications resulting from negative
nominal interest rates and then takes a closer look on the connections between changes in interest
rates and the movements in commodity market. We use vector error correction model to
investigate impact of nominal macroeconomic factors on the set of 16 commodities of different
types (metal, energy and industrial commodities). As expected, our findings confirmed that the
price changes in the commodity market are in the long run significantly linked with inflation as
well as with nominal interest rates. The analysis also supports the claims of considerable
correlation among prices themselves but provides no evidence of negative interest rate policy
impact on the commodity market.

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