Examining the Link between Financial Market Efficiency and Monetary Transmission Mechanism
|Autor:||Mgr. Tadeáš Krejčí|
|Rok:||2019 - letní|
|Vedoucí:|| prof. PhDr. Ladislav Krištoufek Ph.D.
|Typ práce:|| Diplomová
|Abstrakt:||In an effort to examine role of capital markets’ efficiency in transmission of
monetary policy, 28 time series of market efficiency development are estimated
with use of long-term memory and fractal dimension measures and a panel of
27 inflation targeting countries is constructed to run a random effect regression. The cases of Czech Republic and Austria are thereafter more closely
examined with use a vector-autoregressive and threshold vector-autoregressive
frameworks on macroeconomic data spanning from 1996:Q3 to 2018:Q4. The
evidence obtained through the conducted analyses support the hypothesis, that
a more efficiently functioning capital market better contributes to monetary
policy pass-through, or conversely, that high transaction costs, barriers to capital market entry, or poor information availability may hinder the effects of
central bank’s monetary policy.