Fiscal-monetary-financial stability interactions in a data-rich environment

In this paper, we shed some light on the mutual interplay of economic policy and the financial stability objective. We contribute to the intense discussion regarding the influence of fiscal and monetary policy measures on the real economy and the financial sector. We apply a factor-augmented vector autoregression model to Czech macroeconomic data and model the policy interactions in a data-rich environment. Our findings can be summarized in three main points: First, loose economic policies (especially monetary policy) may translate into a more stable financial sector, albeit only in the short term. In the medium term, an expansion-focused mix of monetary and fiscal policy may contribute to systemic risk accumulation, by substantially increasing credit dynamics and house prices. Second, we find that fiscal and monetary policy impact the financial sector in differential magnitudes and time horizons. And third, we confirm that systemic risk materialization might cause significant output losses and deterioration of public finances, trigger deflationary pressures, and increase the debt service ratio. Overall, our findings provide some empirical support for countercyclical fiscal and monetary policies.Web of Science18322419

Leverage ratio and its impact on the resilience of the banking sector and efficiency of macroprudential policy

Basel III responded to the financial crisis by redefining and expanding the capital requirements for risk-weighted assets and by proposing the introduction of a leverage ratio which sets a minimum level of capital for banks in relation to total exposures. The capital requirement is being increased primarily through the active use of macroprudential capital buffers. As a result, it was proposed that the leverage ratio requirement should also take into account the level of capital buffers and thus become a macroprudential policy tool. This article examines the relationship between capital and leverage ratios and discusses the options for, and effects of, introducing a macroprudential leverage ratio. We find that the capital and leverage ratios complement each other and that the introduction of a macroprudential leverage ratio could, under certain circumstances, enhance the effectiveness of a macroprudential policy.Web of Science67429927

The Interaction and Compatibility of Monetary and Macroprudential Policy in the Czech Republic

The thesis deals with the interaction of monetary and macroprudential policy, or with the compatibility of the objectives of these policies in the Czech Republic. The main attention is given to the use of interest rate instruments for the purpose of achieving financial stability during the accumulation phase of cyclical dimension of systemic risk. For this purpose the crucial item is the relationship of financial and price stability in the economy. On the Czech economy data is therefore tested the relationship between credit activity and asset prices, to be subsequently quantified the relationship between the prices of selected assets and consumer prices. The model results open the door to greater use of industrial producer price index for the coordination of monetary and macroprudential policy. The thesis for the same reason also recommends continuing research into the development of the general price level during the financial cycle

Stanovení a význam sloučenin fosforu ve vodním prostředí

The bachelor thesis Determination and importance of phosphorus in the aquatic envi-ronment deals with familiarization with phosphorus and phosphates, which are present in water environment, and their evaluation. Phosphorus is important element playing significant role in formation of adenosinphosphates and membrane lipids. Its importance is described in the first part of the bachelor thesis. The second part deals with its collec-tion from number of places in southern Moravia and Vysočina from April to October 2018. These samples were then evaluated and compared with limits of surface waters according to Government Regulation no. 401/2015 Coll

The Current Financial Crisis Through the Eyes of the Austrian School

The thesis aims to defend the irreplaceable role of the Austrian business cycle theory in explaining the current financial crisis in the U.S.. Attention is also paid to applied measures of American economic policies and their impact on the elimination of the purification process of the recession. Furthermore, the work deals with the identification of preventive measures, which would reduce the likelihood of the occurrence of economic cycles. Recommendations by representatives of the Austrian School are described as difficult to implement on the basis of number of arguments. In the work are therefore proposed more realistic measures to limit the volatility of the economic cycle, which emanate mainly from the composite price index, which is the subject of this text. The index reflects the price development in all stages of production and should therefore in monetary policy matters replace the current use of price indicators, based on the inflated scale of consumption, taking into account only minimal effects of monetary expansion. The work deals with the calculation of the composite price index for the United States, which used the instrument of Skounsen indicator of gross domestic output. The development of the composite price index in the US is then analyzed and compared with the development of other macroeconomic variables. Based on this examination, we recommend the use of composite price index for monetary policy regime of inflation targeting and the implementation thereof by the Federal Reserve monetary policy

The meaning and structure of property taxes in selected countries of the EU

Property taxes are part of all tax systems in the European Union and should, like other taxes, fulfill a number of functions, including redistributive and stabilizing functions. The main goal of this thesis is to assess the extent to which the selected countries fulfill redistributive and stabilizing functions. I express the fulfillment of the redistributive function by means of a cross-sectional regression analysis of the share of property tax revenues in GDP and the Gini coefficient, with the Gini coefficient as the dependent variable. I will use the elasticity of property tax revenues to the size of production gaps to describe the stabilization function, with the share of property tax revenues to GDP as the dependent variable, and I will conduct this analysis for each selected country. In the first part of the thesis I will focus on the theoretical definition of taxes in general and then describe property taxes and their categorization according to the OECD. I will describe the individual categories of property taxes in detail. The next section focuses on the fiscal significance of property taxes, where I compare property tax revenues at the national and local government levels. The final section is devoted to analyses that address the main goals of the thesis.Majetkové daně jsou součástí všech daňových systémů Evropské unie, měly by stejně jako ostatní daně plnit řadu funkcí, mezi které mimo jiné patří i funkce redistribuční a stabilizační. Hlavním cílem této práce je posoudit, v jaké míře plní vybrané státy redistribuční a stabilizační funkci. Plnění redistribuční funkce vyjádřím pomocí průřezové regresní analýzy podílu výnosů majetkových daní na HDP a Giniho koeficientu, kde Giniho koeficient vystupuje jako vysvětlovaná proměnná. Plnění stabilizační funkce popíšu pomocí elasticity výnosů majetkových daní na výši produkčních mezer, kde podíl výnosů majetkových daní na HDP bude vystupovat jako závislá proměnná a tuto analýzu provedu pro každý vybraný stát. V první části práce se zaměřím na teoretické vymezení daní obecně a následně popíšu majetkové daně a jejich kategorizaci podle OECD. Jednotlivé kategorie majetkových daní podrobně rozeberu. Další část je zaměřená na fiskální význam majetkových daní, kde porovnám výnosy majetkových daní na státní a lokální úrovni. Závěrečná část se věnuje analýzám, které odpovídají na hlavní cíle práce

Jsou rizikové váhy domácích bank procyklické?

V článku analyzujeme cykličnost rizikových vah bank působících v České republice mezi lety 2008 a 2016. Rozlišujeme mezi rizikovými váhami pro přístup na základě interních modelů bank a na základě standardizovaného přístupu, uvažujeme jak cyklus hospodářský, tak cyklus finanční a používáme vlnkovou koherenci jako prostředek dynamické korelační analýzy. Naše výsledky ukazují, že rizikové váhy expozic spadající pod přístup založený na interních modelech bank jsou pro cyklické ve vztahu k finančnímu cyklu, a to včetně rizikových vah spjatých s expozicemi zajištěnými nemovitostmi. Také ukazujeme, že pro přístup založený na interních modelech bank je relevantní vliv měnící se kvality aktiv na rizikové váhy, což je v souladu s našimi očekáváními na základě regulatorních standardů. Naše výsledky mohou být použity pro účel rozhodování o aktivaci dohledových a makroobezřetnostních nástrojů včetně proticyklické kapitálové rezervy.We analyze the cyclicality of risk weights of banks in the Czech Republic from 2008 to 2016. We differentiate between risk weights under the internal ratings-based and those under the standardized approach, consider both the business cycle and the financial cycle, and employ wavelet coherence as a means of dynamic correlation analysis. Our results indicate that the risk weights of exposures under the internal ratings-based approach, including risk weights related to exposures secured by real estate collateral, are procyclical with respect to the financial cycle. We also show that the effect of changing asset quality on risk weights is present for the internal ratings-based approach, in line with our expectations based on regulatory standards. Our results can be employed for the purposes of decision-making on the activation of supervisory and macroprudential instruments, including the countercyclical capital buffer

Fiscal-Monetary-Financial Stability Interactions in a Data-Rich Environment

In this paper, we shed some light on the mutual interplay of economic policy and the financial stability objective. We contribute to the intense discussion regarding the influence of fiscal and monetary policy measures on the real economy and the financial sector. We apply a factor-augmented vector autoregression model to Czech macroeconomic data and model the policy interactions in a data-rich environment. Our findings can be summarized in three main points: First, loose economic policies (especially monetary policy) may translate into a more stable financial sector, albeit only in the short term. In the medium term, an expansion-focused mix of monetary and fiscal policy may contribute to systemic risk accumulation, by substantially increasing credit dynamics and house prices. Second, we find that fiscal and monetary policy impact the financial sector in differential magnitudes and time horizons. And third, we confirm that systemic risk materialization might cause significant output losses and deterioration of public finances, trigger deflationary pressures, and increase the debt service ratio. Overall, our findings provide some empirical support for countercyclical fiscal and monetary policies

New kid on the block: leverage ratio and its implications for banking regulation

The capital regulation reform package (CRR2) proposed for the EU banking sector introduces a minimum leverage ratio as a (non-risk-weighted) prudential backstop. In this paper, we use Czech bank-level data to explore the implications of introducing a leverage ratio into the capital regulatory framework. Specifically, we create an artificial 'laboratory' environment where we study the relationship between the two regulatory tools and selected bank-specific variables. We identify channels through which the capital and leverage ratios might be affected and test the functionality of those channels. Our results confirm that the capital and leverage ratios complement each other and that the leverage ratio is far less procyclical than the capital ratio. We also demonstrate an over-the-cycle functionality of our proposed channels of interaction between the capital and leverage ratios. We show that the leverage ratio (or similar microprudential backstops, such as an output floor) could be an important tool for maintaining resilience, especially for banking sectors with a high share of banks using the internal rating-based approach to risk weight setting.Web of Scienc