Monetary policy of central banks and its effect on private and public indebtedness

Alexandra Danišková

Diplomová práce

Anotace:

This thesis investigates the relationship between central bank monetary policy – more specifically the central bank policy interest rate and indebtedness within the public and private sectors across different countries. Utilizing an Autoregressive Distributed Lag (ARDL) approach, this study provides a comparative analysis of the impact of policy rates on debt dynamics in the Czech Republic, Germany, and Greece. Moreover, the effect of the real GDP change was added as another explanatory variable due to the inherent impact to the debt/GDP ratio. The research findings differ across the countries but also across the public and private sector within the same countries. In general, the results support the inverse effect of the real GDP change on the debt/GDP ratio. The effect of the central bank policy interest rate is, on the other hand less significant and varies not only in the strength but also the sign of the coefficient.

Abstract:

This thesis investigates the relationship between central bank monetary policy – more specifically the central bank policy interest rate and indebtedness within the public and private sectors across different countries. Utilizing an Autoregressive Distributed Lag (ARDL) approach, this study provides a comparative analysis of the impact of policy rates on debt dynamics in the Czech Republic, Germany, and Greece. Moreover, the effect of the real GDP change was added as another explanatory variable due to the inherent impact to the debt/GDP ratio. The research findings differ across the countries but also across the public and private sector within the same countries. In general, the results support the inverse effect of the real GDP change on the debt/GDP ratio. The effect of the central bank policy interest rate is, on the other hand less significant and varies not only in the strength but also the sign of the coefficient.

Klíčová slova

central bank policy interest rate, ARDL, debt/GDP

Keywords

ARDL, debt/GDP, central bank policy interest rate

Jazyk práce: angličtina

Datum vytvoření / odevzdání či podání práce: 21. 5. 2024

Obhajoba závěrečné práce

• Obhajoba proběhla 12. 6. 2024
• Vedoucí: Karel Brůna
• Oponent: Kateřina Šímová

Vysoká škola ekonomická v Praze

Magisterský studijní program:
Finance and Accounting