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The Role of Business Confidence in the Monetary Policy Transmission Mechanism: Evidence from the Euro Area

Název práce v češtině:	Role sentimentu podniků v transmisi měnové politiky: zjištění pro eurozónu
Název v anglickém jazyce:	The Role of Business Confidence in the Monetary Policy Transmission Mechanism: Evidence from the Euro Area
Klíčová slova:	Business confidence, monetary transmission, SVAR model, TVP-VAR model
Klíčová slova anglicky:	Business confidence, monetary transmission, SVAR model, TVP-VAR model
Akademický rok vypsání:	2019/2020
Typ práce:	diplomová práce
Jazyk práce:	angličtina
Ústav:	Institut ekonomických studií (23-IES)
Vedoucí / školitel:	doc. Mgr. Tomáš Holub, Ph.D.
Řešitel:	skrytý - zadáno vedoucím/školitelem
Datum přihlášení:	22.07.2020
Datum zadání:	22.07.2020
Datum a čas obhajoby:	16.06.2021 09:00
Místo konání obhajoby:	Výuka probíhá online, JONLINE, Pomocná místnost pro rozvrhování výuky probíhají online
Datum odevzdání elektronické podoby:	29.04.2021
Datum proběhlé obhajoby:	16.06.2021
Oponenti:	prof. Ing. et Ing. Luboš Komárek, M.Sc., MBA, Ph.D.



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Předběžná náplň práce

Traditional macroeconomics believes that confidence is not the main cause of economic fluctuations, but when faced with financial crises, monetary authorities still emphasize the role of stabilizing confidence. Although people generally agree that confidence is an important part of the transmission of macro-policies to micro-individuals, there is neither empirical evidence support nor corresponding mechanism research. This thesis attempts to answer the following questions: Does business confidence affect the effectiveness of monetary policy? Does business confidence have the same impact on monetary policy in different economic periods?
This thesis first constructed a structural vector auto-regression (SVAR) model to test the role of business confidence in the transmission of monetary policy in the euro area. The empirical results show that expansionary monetary policy can effectively boost business confidence while stimulating output growth. In addition, this thesis also conducted a robustness test, using share price and exchange rate as proxy variables of the monetary transmission mechanism, and concluded that business confidence plays a strong role in the transmission of interest rates and asset prices, and in the transmission of exchange, the role is weaker. Subsequently, in order to verify the influence of business confidence with different lead times and different time points on monetary policy, this thesis established a time-varying parameter vector autoregression (TVP-VAR) model. The role of confidence in the transmission of monetary policy is mainly manifested as a short-term impact, which gradually weakens in the long-term Moreover, at different stages of economic development, the business confidence index has different effects on the transmission of monetary policy. In times of economic crisis, the role of confidence will be more sensitive.

Předběžná náplň práce v anglickém jazyce