Examining the Link between Financial Market Efficiency and Monetary Transmission Mechanism
Autor: | Mgr. Tadeáš Krejčí |
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Rok: | 2019 - letní |
Vedoucí: | prof. PhDr. Ladislav Krištoufek Ph.D. |
Konzultant: | |
Typ práce: | Diplomová Ekonomická teorie |
Jazyk: | Anglicky |
Stránky: | 82 |
Ocenění: | |
Odkaz: | |
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. |