Work detail

Examining the Link between Financial Market Efficiency and Monetary Transmission Mechanism

Author: Mgr. Tadeáš Krejčí
Year: 2019 - summer
Leaders: prof. PhDr. Ladislav Krištoufek Ph.D.
Consultants:
Work type: Economic Theory
Masters
Language: English
Pages: 82
Awards and prizes:
Link:
Abstract: 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.

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Deloitte

Sponsors

CRIF
McKinsey
Patria Finance
Česká Spořitelna
EY