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Interaction between Macroprudential and Monetary Policies, and Bank Runs
Název práce v češtině: Interaction between Macroprudential and Monetary Policies, and Bank Runs
Název v anglickém jazyce: Interaction between Macroprudential and Monetary Policies, and Bank Runs
Klíčová slova anglicky: macroprudential policy, monetary policy, bank runs, financial stability
Akademický rok vypsání: 2015/2016
Typ práce: diplomová práce
Jazyk práce: angličtina
Ústav: Institut ekonomických studií (23-IES)
Vedoucí / školitel: PhDr. Michal Hlaváček, Ph.D.
Řešitel: skrytý - zadáno vedoucím/školitelem
Datum přihlášení: 16.06.2016
Datum zadání: 16.06.2016
Datum a čas obhajoby: 13.09.2017 08:30
Místo konání obhajoby: Opletalova - Opletalova 26, O105, Opletalova - místn. č. 105
Datum odevzdání elektronické podoby:31.07.2017
Datum proběhlé obhajoby: 13.09.2017
Oponenti: doc. PhDr. Adam Geršl, Ph.D.
 
 
 
Kontrola URKUND:
Seznam odborné literatury
Angelini, Paolo, Stefano Neri, and Fabio Panetta. 2014. ``The interaction between capital requirements and monetary policy". Journal of Money, Credit and Banking 46 (6):1073-1112.

Gerali, Andrea, Stefano Neri, Luca Sessa, and Federico Maria Signoretti. 2010. ``Credit and banking in a DSGE model of the Euro area". Journal of Money, Credit and Banking 42 (1):107-141.

Gertler, Mark, and Nobuhiro Kiyotaki. 2015. ``Banking, liquidity, and bank runs in an infinite horizon economy". American Economic Review 105 (7):2011-2043.

De Paoli, Bianca, and Matthias Paustian. 2013. ``Coordinating monetary and macroprudential policies". Federal Reserve Bank of New York, Staff Report No. 653.
Předběžná náplň práce
Motivation
After the crisis in 2007, it was apparent that the current regulatory framework is not sufficient for achieving financial stability. In particular, a new design was needed that would take into account the linkages between particular financial institutions and the corresponding threats, as this perspective was omitted from the previous framework. Consequently, macroprudential policies came into play.

For a suitable design of any macroprudential policy it is necessary to understand its interactions with other policies, in particular the monetary ones, as these also directly affect the financial sector. Since both macroprudential and monetary policies operate through the same channels, they might have a substantial impact on each other. Therefore, it is essential for a regulator to know the effects in play in order to achieve the highest efficiency of both policies.

The thesis will be focused on studying the interaction between macroprudential and monetary policies in the presence of bank runs. Since bank runs played a significant role in the recent crisis, it is important to involve them into the analysis and study how the two policies behave when a run occurs. In particular, it will be studied whether macroprudential and monetary policies should be conducted jointly or separately, and how is this decission affected by an occurence of a bank run. Moreover, it will be examined what is the effect of a prospective cooperation between policies on financial stability.

Hypotheses
1. When a bank run occurs, coordinated policies are more efficient than the ones determined separately.
2. A bank run affects the efficiency of macroprudential and monetary policies.
3. The efficiency of macroprudential and monetary policies depends on the type of shocks hitting the economy.
4. Financial stability, proxied by a probability of a bank run occurence, differs among the policy regimes (coordinated vs. non-coordinated policies).

Methodology
The model studied in the thesis will be based on Gerali et al. (2010) and Angelini, Neri and Panetta (2014). In particular, the latter paper examines the interaction between macroprudential and monetary policies in a DSGE model with financial frictions that is based on Gerali et al. (2010). Therefore, the approach of modelling the interaction will be adopted from Angelini, Neri and Panetta (2014). However, the banking sector will be handled differently. Namely, it will be based on Gertler and Kiyotaki (2015). The authors study bank runs which occur as sunspots with an endogenous probability. Hence, while a bank run is an exogenous event, its probability of occurence depends on endogenous variables and therefore on economic conditions.

The framework described above will be used to study the effects of bank runs on the interaction between macroprudential and monetary authorities. The model will be simulated using Matlab and the robustness of obtained results will be checked by examining models involving alternative values of parameters, different types of shocks and of policy rules.

Expected contribution
According to the author's best knowledge, there does not exist any literature examining the interaction between macroprudential and monetary policies in the presence of bank runs. Hence, the main contribution will be the assessment of an effect that bank runs have on the efficiency of the two policies and on the decission of whether they should be conducted jointly or separately. In this framework, it will be also studied how coordination between the policies contributes to financial stability which will be proxied by a probability of a bank run occurence.

Outline
1. Introduction
2. Literature review
3. Description of the model
4. Simulation results
5. Conclusion

 
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