Analiza monetarnog transmisijskog mehanizma u Hrvatskoj

master's thesis

• Title (english): Analysis of monetary transmission mechanysm in Croatia
• Author: Elia Krajnović
• Mentor: Martina Nakić (mentor)
• Committee member: Gordana Kordić (predsjednik povjerenstva)
• Committee member: Jakša Krišto (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; Zagreb
• Defense date and country: 2016-02-26, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics

Abstract

Predmet istraživanja ovog rada je učinkovitost transmisijskog mehanizma monetarne politike
Hrvatske narodne banke, odnosno analiza različitih kanala monetarne transmisije u vođenju
monetarne politike u Hrvatskoj. Provodi se empirijska analiza o međupovezanosti varijabli
realnog sektora, predstavljenih s realnom ekonomskom aktivnošću i razinom cijena, i
odabranih monetarnih varijabli, a to su realni efektivni devizni tečaj, novčana masa M1 i
kamatna stopa na prekonoćnom tržištu međubankovnih kredita. Pritom se koristi
metodologija temeljena na vektorskom modelu korekcije pogreške (VECM) i Johansenovoj
kointegraciji. Analiza ukazuje kako postoje kointegracijski vektori koji upućuju na dugoročnu
povezanost između varijabli realne ekonomske aktivnosti i razine cijena te varijabli
monetarnog prijenosa. Najjači kanal monetarnog prijenosa je devizni tečaj, dok su slabije
razvijeni kanal kamatne stope i direktni monetarni prijenos putem novčane mase M1. No,
uočen je stanoviti napredak s obzirom da prijašnja istraživanja nisu pronašla značajan učinak
kamatne stope u monetarnoj transmisiji.

Abstract (english)

The subject of this study is the effectiveness of the transmission mechanism of monetary
policy of the Croatian National Bank and analysis of different channels of monetary
transmission in the conduct of monetary policy. An empirical analysis of the
interconnectedness of the real sector (presented with real economic activity and the price
level) and selected monetary variables - the real effective exchange rate, money supply M1
and the interest rate at the overnight interbank loan market is carried out. The methodology
used is based on vector error correction model (VECM) and Johansen cointegration. The
analysis shows that there are cointegration vectors pointing to a long-term association
between variables in real economic activity and price levels and the monetary variables. The
strongest channel of monetary transmission is the exchange rate channel, while the interest
rate channel and direct monetary transmission via the money supply M1 are less developed.
However, certain progress has been made since earlier studies had not found a significant
effect of the interest rate in monetary transmission.

• Keywords: Hrvatska narodna banka; monetarni transmisijski mehanizam; kanali monetarne transmisije; VEC model; Johansenova kointegracija
• Keywords (english): Croatian National Bank; monetary transmission mechanism; channels of the monetary transmission; VEC model; Johansen cointegration
• Language: croatian
• URN:NBN: urn:nbn:hr:148:368129
• Study programme: Title: Business 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: Access restricted to students and staff of home institution
• Created on: 2016-10-19 16:20:12