Macro-Financial Challenges in Emerging Markets
|Author:||Martina Jašová (20.12.2017)|
|Year:||2017 - winter|
|Leaders:|| doc. PhDr. Adam Geršl Ph.D.
|Work type:|| Dissertations
|Awards and prizes:|
|Abstract:||This dissertation thesis consists of three essays on macroeconomics and finance.
In these essays, I focus on events which adversely a ffect emerging markets and
present challenges to economic policy and central bank thinking. My aim is
to contribute to the existing empirical literature by providing new evidence on
the role of private credit, eff ects of macroprudential policies and understanding
of the exchange-rate pass-through.
The first essay evaluates policy measures taken to curb bank credit growth
in the private sector in the pre-crisis period 2003-2007. The analysis is based on
an original survey conducted on central banks in Central and Eastern Europe.
The findings reveal substantial policy intervention and indicate that certain
measures - particularly asset classication and provisioning rules; and loan
eligibility criteria - might have been eff ective in taming bank credit growth.
The second essay contributes to the existing literature on early warning
indicators as well as to the discussion on the appropriateness of credit-to-GDP
gap as a leading variable for any country for activation of the countercyclical
capital buff er instrument in Basel III. We exploit long-run credit series for 36
emerging markets and evaluate their quality to signal a crisis by using receiver
operating characteristics (ROC) curve and area under the curve (AUC). The
results show that nominal credit growth and the change in credit-to-GDP ratio
have the best signaling properties and signficantly outperform the credit-to-
GDP gap in almost all specications for policy-relevant longer horizons in EMEs.
The third essays studies how exchange rate pass-through to inflation has
changed since the global financial crisis. The main findings can be summarized
as follows: First, exchange rate pass-through in emerging economies decreased
after the financial crisis, while exchange rate pass-through in advanced economies
has remained relatively low and stable over time. Second, the declining
pass-through in emerging markets is related to declining inflation. Third, the findings
highlight the importance to control for non-linearities when estimating
exchange rate pass-through.