Bank Liquidity Creation and Real Economy: VAR Analysis
| Thesis title in Czech: | Tvorba bankovní likvidty a reálná ekonomika: VAR analýza |
|---|---|
| Thesis title in English: | Bank Liquidity Creation and Real Economy: VAR Analysis |
| Key words: | Vektorová autoregrese, finanční krize, tvorba likvidity, bankovnictví, reálná ekonomika |
| English key words: | Vector Autoregressions, Financial Crisis, Liquidity Creation, Banking, Real Economy |
| Academic year of topic announcement: | 2011/2012 |
| Thesis type: | Bachelor's thesis |
| Thesis language: | angličtina |
| Department: | Institute of Economic Studies (23-IES) |
| Supervisor: | prof. Roman Horváth, Ph.D. |
| Author: | hidden - assigned by the advisor |
| Date of registration: | 22.03.2012 |
| Date of assignment: | 22.03.2012 |
| Date and time of defence: | 17.06.2013 00:00 |
| Venue of defence: | IES |
| Date of electronic submission: | 14.05.2013 |
| Date of proceeded defence: | 17.06.2013 |
| Opponents: | Mgr. Ihor Kruchynenko |
| References |
| Brooks, Ch., 2008, Introductory Econometrics for Finance, Cambridge.
Horvath, R. and M. Rusnak, 2008. How Important Are Foreign Shocks in Small Open Economy? The Case of Slovakia, Working Papers IES 2008/21, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2008. Havranek, T.,Horvath, R. and J. Mateju, 2010. Do Financial Variables Help Predict Macroeconomic Environment? The Case of the Czech Republic, Working Papers 2010/06, Czech National Bank, Research Department. Horvath, R., Seidler, J. and L. Weill, 2012, Bank Capital and Liquidity Creation: Granger Causality Evidence, Journal of Financial Services Research. Fungacova, Z. and L. Weill, 2012, Bank Liquidity Creation in Russia,Eurasian Geography and Economics, Bellwether Publishing, Ltd. Havranek, T., Horvath, R. and J. Mateju, 2010, Monetary transmission and the financial sector in the Czech Republic, Czech National Bank WP. Berger, Allen N. and Christa H. S., Bouwman, 2007, Bank Liquidity Creation, (Previously titled ‘ The Measurement of Bank Liquidity Creation and the Effect of Capital‘), Available at: http://ssrn.com/abstract=672784 or http://dx.doi.org/10.2139/ssrn.672784. Berger, Allen N. and Christa H. S., Bouwman, 2008, Financial Crises and Bank Liquidity Creation, Available at SSRN: http://ssrn.com/abstract=1231562 or http://dx.doi.org/10.2139/ssrn.1231562. |
| Preliminary scope of work |
| Práce se bude týkat vlivu tvorby bankovní likvidity na reálnou ekonomiku a její interakci vůči úrokovým sazbám centrální banky. Jak ukázala nedávná bankovní krize, banky hrají významnou roli v tvorbě likvidity. Tato práce bude zkoumat její vliv na růst HDP, inflaci, nezaměstnanost a úrokovou míru pomocí vektorové autoregrese. Analýza bude prováděna na datech z posledního desetiletí a náš výzkum bude zaměřen především na období nedávné finanční krize.
Osnova: 1. Úvod 2. Tvorba bankovní likvidity 3. Vektorová autoregrese 4. Analýza výsledků 5. Závěr |
| Preliminary scope of work in English |
| The thesis will concern the influence of bank liquidity creation on the real economy and their interaction to interest rates of Central Bank. The recent financial crisis provides that banks play an important role in liquidity creation. This thesis will examine its impact on GDP, inflation, unemployment and interest rates using the vector autoregressive analysis. Our analysis will be performed on the data from the last decade and our research will focus to from the period of the recent financial crisis.
Outline 1. Introduction 2. Bank Liquidity Creation 3. Vector Autoregressions 4. Analysis of the results 5. Conclusion |