Mezinárodní efekty přelévání měnové politiky

Abstract

The dissertation focuses on the empirical investigation of monetary policy shock transmission between core and peripheral economies. The simultaneous tightening of monetary policy amidst current geopolitical and economic uncertainties raises questions about the risk of excessive spillovers and their impact on global economic stability. The study examines key transmission mechanisms, including trade and financial channels, and their effects on macroeconomic indicators. This research reflects the growing global interconnectedness of financial markets, which shapes the dynamics of monetary policy spillovers.

The theoretical part of the dissertation provides a historical overview and a framework for analyzing monetary policy spillovers. This framework spans from traditional models, such as the Mundell-Fleming model, to modern concepts incorporating financial frictions and global financial cycles. The study identifies key spillover channels, including trade linkages, capital flows, and exchange rate effects. The empirical section employs a global Bayesian vector autoregressive model (BGVAR), enabling the analysis of complex international interactions between economies. The data cover the period from 2001 to 2022, focusing on the effects of monetary policy shocks originating in the US and the Eurozone on selected Central European economies outside the Eurozone. This approach allows for the identification of both direct and indirect effects of monetary policy measures. The main findings reveal that: (I.) unexpected monetary shocks from core economies significantly impact real output and price levels in peripheral countries; (II.) the financial channel plays a critical role in shaping interest rates and financial cycles; (III.) domestic monetary policy in peripheral countries remains relatively independent, although foreign shocks influence inflation and economic activity; (IV.) floating exchange rate regimes mitigate the effects of foreign shocks but do not provide complete protection; (V.) the informational channel underscores the importance of central bank communication in influencing sentiment spillovers to other economies.

The dissertation contributes to the understanding of international monetary policy transmission and emphasizes the need to incorporate the financial channel into empirical models. The concluding discussion offers practical implications for economic policymaking in open economies and highlights the importance of coordinating international monetary policy measures. Overall, the study underscores how the globalization of financial markets and geopolitical uncertainties shape the effectiveness of monetary policy across different economies.