Analiza učinaka prelijevanja nekonvencionalnih mjera monetarne politike ECB-a u zemljama srednje i jugoistočne Europe

master's thesis

• Title (english): Spillover effects of the ECB's unconventional monetary policy measures in Central and Southeastern Europe
• Author: Maja Sabol
• Mentor: Ozana Nadoveza Jelić (mentor); MBZ: 332925
• Committee member: Ozana Nadoveza Jelić (predsjednik povjerenstva)
• Committee member: Vladimir Arčabić (član povjerenstva)
• Committee member: Tihana Škrinjarić (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Macroeconomics and Economic Development); Zagreb
• Defense date and country: 2020-09-03, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics; Macroeconomics

Abstract

Cilj diplomskog rada je analizirati učinke prelijevanja nekonvencionalnih mjera monetarne politike ECB-a u zemljama srednje i jugoistočne Europe. Uz to, naglasak je na identifikaciji transmisijskih kanala putem kojih ti učinci djeluju i ulozi deviznog tečaja u prijenosu monetarnih šokova. Za male otvorene ekonomije takvi učinci prelijevanja od velikog su interesa i važnosti, osobito za one zemlje koje pokušavaju naći optimalne reakcije vlastitih politika. Analizirane zemlje srednje i jugoistočne Europe u velikoj su mjeri povezane sa zemljama europodručja što se ogleda u trgovinskoj razmjeni, povezanosti financijskih tržišta i usklađenosti poslovnih ciklusa. Empirijska analiza provedena je pomoću strukturnih vektorskih autoregresijskih modela (SVAR) s restrikcijama blok-egzogenosti za svaku zemlju pojedinačno. Na temelju provedene empirijske analize, zaključuje se da se mjere ECB-a nisu
značajno prelile na analizirane zemlje, posebice na realne varijable - BDP, inflaciju i izvoz. Unatoč tome što je tečaj djelovao kao zaštitna barijera, zemlje nisu imale koristi od vanjskih monetarnih šokova u većoj mjeri kao što ukazuju ostala empirijska istraživanja.

Abstract (english)

The aim of this thesis is to analyze the spillover effects of the ECB's unconventional monetary policy measures in Central and Southeastern Europe. Moreover, the emphasis is on identifying the transmission channels through which these effects act and roleof the exchange rate in monetary shocks transmission. For small open economies, such spillover effects are of great interest and importance, especially for those countries trying to find optimal responses to their own policies. Analysed countries of Central and Southeastern Europe are largely related to the eurozone which is reflected in trade, financial markets and business cycle synchronisation. Empirical analysis was performed using structural vector autoregressive models (SVAR) with block exogeneity restrictions for each country individually. Based on empirical analysis, it is concluded that ECB’s measures did not significantly spill over to the analysed countries, especially to real variables - GDP, inflation and exports. In spite of exchange rate being a shock absorber, countries didn’t benefit from external monetary shocks to a greater extent as other empirical research suggests.

• Keywords: nekonvencionalna monetarna politika; Europska centralna banka; transmisijski mehanizam; Mundell-Fleming trilema; strukturni vektorski autoregresijski model (SVAR)
• Keywords (english): unconventional monetary policy; European Central Bank; transmission mechanism; Mundell-Fleming trilemma; structural vector autoregressive model (SVAR)
• Language: croatian
• URN:NBN: urn:nbn:hr:148:802244
• Study programme: Title: Economics; Study programme type: university; Study level: graduate; Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2020-09-03 09:15:45