Macro-Financial challenges in Emerging Markets

• Název práce v češtině: Makro-finanční výzvy v rozvíjejíchích se zemích
• Název v anglickém jazyce: Macro-Financial challenges in Emerging Markets
• Klíčová slova: rozvíjející se země, bankovní krize, makro-finance, úvěry soukromému sektoru
• Klíčová slova anglicky: emerging markets, banking crises, macro-finance, private sector credit
• Akademický rok vypsání: 2011/2012
• Typ práce: disertační práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: doc. PhDr. Adam Geršl, Ph.D.
• Řešitel: skrytý - zadáno a potvrzeno stud. odd.
• Datum přihlášení: 13.11.2015
• Datum zadání: 13.11.2015
• Datum potvrzení stud. oddělením: 13.11.2015
• Datum a čas obhajoby: 20.12.2017 00:00
• Datum odevzdání elektronické podoby: 28.04.2017
• Datum proběhlé obhajoby: 20.12.2017
• Oponenti: Dr. rer. pol. Christian Schmieder

Seznam odborné literatury

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Předběžná náplň práce

Tato dizertace sestává ze tří esejí na téma makroekonomie a finance. V těchto esejích se zabývám událostmi, které mají negativní dopad na rozvíjející se trhy a představují riziko pro hospodářskou politiku a centrální bankovnictví. Mým cílem je doplnit současnou empirickou literaturu o nové poznatky v oblasti soukromých úvěrů, makroobezřetnostní politiky a promítání měnového kurzu do inflace

První esej se zabývá opatřeními, která si před ekonomickou krizí v letech 2003 – 2007 kladla za cíl omezit růst úvěrů v soukromém sektoru. Analýza těchto opatření je založena na původním průzkumu mezi centrálními bankami střední a východní Evropy. Výsledky odhalují výrazné zásahy hospodářské politiky a ukazují, že některá opatření, jako například klasifikace aktiv a povinných rezerv nebo kritéria způsobilosti k úvěrům, mohla být úspěšná v potlačení růstu bankovních úvěrů.

Druhá esej doplňuje současnou literaturu zabývající se indikátory včasného varování a přispívá k diskuzi o přiměřenosti statistické metody odhadu nadměrného zadlužení privátního sektoru (tzv. credit-to-GDP gap) jako hlavního indikátoru k použití proticyklických kapitálových opatření v rámci Basel III. Studie analyzuje dlouhodobá úvěrová data z 36 zemí a jejich schopnost indikovat krizi. Tato analýza je provedena za použití ROC křivky s největší plochou pod křivkou (AUC – area under curve). Výsledky ukazují, že nejlepším indikátorem jsou nominální růst úvěrů a změna poměru úvěrů k HDP, které v dlouhodobém horizontu pro rozvíjející se trhy překonávají výpočet pomocí HP filtru téměř ve všech specifikacích.

Třetí esej studuje vývoj přenosu kurzového šoku do inflace od dob světové finanční krize. Výsledky se dají shrnout následovně: Za prvé, přenos kurzového šoku do spotřebitelských cen na rozvíjejících se trzích od dob finanční krize poklesl, zatímco v rozvinutých ekonomikách zůstával relativně nízký a stabilní po celou dobu. Za druhé, klesající přenos kurzového šoku do cen na rozvíjejících se trzích je úzce spojen s klesající inflací. Za třetí, výsledky dokazují jak důležité je při odhadování přenosu kurzového šoku vzít v potaz jakékoliv nelinearity.

Předběžná náplň práce v anglickém jazyce

This dissertation thesis consists of three essays on macroeconomics and finance. In these essays, I focus on events which adversely aeffect 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, effect 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 classification and provisioning rules; and loan eligibility criteria - might have been effective 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 buffer 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 significantly outperform the credit-to-GDP gap in almost all specifications 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 fíndings highlight the importance to control for non-linearities when estimating exchange rate pass-through.