Dopady měnové a fiskální politiky na finanční stabilitu

Abstract

The dissertation focuses on the evaluation of economic policies impact on financial system stability. Mainly, we estimate the cumulative effects of monetary and fiscal policy measures on the risk of financial instability. Critical analysis of theoretical and empirical literature leads to the formulation of the theoretical model which captures the interaction between economic policies and financial sector development. The model is based on a loss function specification proposed by Carlstrom, Fuerst and Paustian (2010) and is further augmented by indebtedness dynamics in both private and public sectors.

The impact of economic policies on financial system stability is analyzed on the example of the Czech Republic. We use a factor augmented vector autoregression model (FAVAR) and Bayesian VAR model. Apart from existing Czech studies which model the monetary-fiscal policy interactions with only a few macroeconomic variables, we use a vast dataset consisting of hundreds of time series. To our knowledge, there is no complex study that verifies the impacts of both monetary and fiscal policy on financial sector in the Czech Republic. To model the impact of economic policies measures on financial stability, we identify expansionary monetary and fiscal policy shocks.

The analysis of the Czech data showed that the monetary expansion leads to fiscal expansion and fiscal expansion causes monetary restriction. We also show that the impact of fiscal expansion on financial sector might be destabilizing in the short-term, whereas monetary policy expansion destabilizes the financial sector in the medium-term. In the light of our empirical evidence, we conclude that a conflict can arise between the economic policies and macroprudential regulatory policy under certain conditions. Loose monetary policy leads to an increase in asset prices and residential property prices while this increase was at the same time bolstered by following fiscal expansion. In this case, when both economic policies are loosened, macroprudential regulatory tools might not be sufficient to prevent risk accumulation and subsequent risk materialization.

Our empirical results calls for deeper communication between fiscal and monetary policies on one hand and regulatory policies ensuring financial stability on the other. Future research should focus on the analysis of cumulative impact of economic policies measures in different stages of economic and financial cycle. This can be done in a non-linear framework with threshold variables.