Zahraniční kurzové intervence centrální banky: DSGE přístup

Mgr. Tomáš Oravec

Master's thesis

Foreign Exchange Interventions of the Central Bank: A DSGE Approach

Abstract:

V predloženej práci sa zaoberáme kurzovými intervenciami centrálnej banky ako nekonvenčného nástroja monetárnej politiky. Práca bola rozdelená do troch kapitol. V prvej kapitole je odvodený DSGE model a jeho log-lineárna aproximácia. V druhej kapitole je predstavená matematická metodológia odhadu a analýzy modelu. Predmetom skúmania poslednej kapitoly je identifikácia a analýza základného modelu a jeho obmedzenej verzie v kontexte intervenčných režimov.

Abstract:

In the submitted thesis we deal with foreign exchange interventions from the central bank as an unconventional monetary policy instrument. The thesis has been divided into three chapters. In the first chapter, DSGE model and its log-linear approximation is derived. In the second chapter, mathematical methodology of model estimation and analysis is introduced. The object of the research of the final chapter is the identification and analysis of baseline model and its constrained version in the context of intervention regimes.

Keywords

Novokeynesovský DSGE model, nekrytá úroková parita, impulzné odozvy, občasne zväzujúce obmedzenia, nulová dolná hranica, devízové intervencie, New Keynesian DSGE model, uncovered interest parity, impulse responses, occasionally binding constraints, zero lower bound, foreign exchange interventions

Language used: English

Date on which the thesis was submitted / produced: 4. 1. 2019

Thesis defence

• Date of defence: 28. 1. 2019
• Supervisor: prof. Ing. Osvald Vašíček, CSc.
• Reader: Ing. Daniel Němec, Ph.D.

Masaryk University

Faculty of Economics and Administration

Master programme / field:
Quantitative Methods in Economy / Mathematical and Statistical Methods in Economics