Mezinárodní transmise měnové politiky Evropské centrální banky: efekt přelévání monetární politiky na příkladu České republiky

Abstract

Czech economy has long-term very close business and financial ties with its European partners, which are mainly members of euro area. Every economic, financial or monetary shock is thus very quickly spreading across the EU. However, in recent years attention has been paid to a very specific spillover effect – international transmission of ECB monetary policy. Assessment of spillover effect plays a significant role in making monetary policy decisions. The spillover effect or general transmission of exogenous monetary policy may destabilize the economic situation in the domestic country. The aim of this analysis is to identify the main channels of international monetary policy transmission for the Czech Republic. In this paper author shows that spillover of monetary shock has very similar effect to the monetary policy in the euro area. The application of the structural vector autoregression (SVAR) model reveals that monetary restriction of ECB is rapidly affecting the development of short-term nominal interest rates in the Czech Republic. The rise in short-term nominal interest rates in the euro area has also a negative effect on economic output in the Czech Republic, peaking at 17 months. The nominal exchange rate of CZK/EUR is mainly influenced by speculative spillover of short-term capital in the first few months after monetary shock and its development will then stabilize. Moreover, it is found that the international transmission of the ECB's monetary policy does not have a major effect on the price level in the domestic economy. The robustness of the results is also ensured by analyzing the overall monetary policy using the Monetary condition index (MCI).