Imovinski kanali monetarne transmisije u Hrvatskoj

professional thesis

• Title (english): ASSET PRICE CHANNELS OF MONETARY TRANSMISSION IN CROATIA
• Author: Ivana Beljo
• Mentor: doc.dr.sc. Martina Solenički (mentor); MBZ: 323420
• Committee member: Ivan Lovrinović (predsjednik povjerenstva)
• Committee member: Nataša Erjavec (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; Zagreb
• Defense date and country: 2020-10-15, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics

Abstract

Predmet istraživanja ovog poslijediplomskog specijalističkog rada je analiza prijenosa monetarnih mjera Hrvatske narodne banke putem kanala cijena imovine (dionica i nekretnina). Promatran je utjecaj prosječne kamatne stope na novčanom tržištu, nominalnog efektivnog deviznog tečaja te CROBEX-a i indeksa cijena stambenih nekretnina na gospodarstvo aproksimirano na dva načina: bruto domaćim proizvodom i indeksom potrošačkih cijena. Procijenjeno je ukupno četiri modela: modeli prijenosa kanala cijena dionica na bruto domaći proizvod i na indeks potrošačkih cijena te modeli prijenosa kanala cijena nekretnina na bruto domaći proizvod i na indeks potrošačkih cijena. Analiza je provedena temeljem podataka na kvartalnoj razini za vremensko razdoblje od siječnja 2002. godine do lipnja 2019. godine. Johansenovom procedurom dokazano je postojanje kointegracijskih vektora iz kojih se uočava dugoročna veza između gospodarske aktivnosti i odabranih monetarnih varijabli. U skladu s dosadašnjim istraživanjima najznačajniji utjecaj u dugom roku na realno gospodarstvo ima devizni tečaj, dok je u odnosu na prijašnja istraživanja vidljivo jačanje kanala kamatne stope u monetarnom transmisijskom mehanizmu u Hrvatskoj. Kanal cijena dionica u dugom roku se pokazao statistički značajnim, dok se dugoročan utjecaj kanala cijena nekretnina pokazao statistički značajnim u modelu s bruto domaćim proizvod, ali ne i u modelu s inflacijom.

Abstract (english)

The subject of this specialist postgraduate thesis is the analysis of the transmission of monetary measures of the Croatian National Bank through the asset (stock and real estate) price channel. Specifically, the impact of the average interest rate on the money market, the nominal effective exchange rate, CROBEX and the residential real estate price index on the economy were observed and approximated in two ways: GDP and the consumer price index. Four VEC models were estimated: models of the transmission of stock price channels to GDP and to the consumer price index, and models of the transmission of real estate price channels to GDP and to the consumer price index. The analysis was conducted on the basis of quarterly data for the period from January 2002 to June 2019. The Johansen procedure was used to prove the existence of cointegration vectors from which a long-term relationship between economic activity and selected monetary variables can be observed. In accordance with previous research, the most significant long-term impact on the real economy is the exchange rate, while compared to previous research, the strengthening of interest rate channels in the monetary transmission mechanism in Croatia is visible. The long-term stock price channel proved to be statistically significant, while the long-term impact of the real estate price channel proved to be statistically significant in the model with gross domestic product, but not in the model with inflation.

• Keywords: monetarna politika; imovinski kanali; ekonometrijska analiza; vektorski modeli; kointegracija
• Keywords (english): monetary policy; asset prices channels; econometric analysis; vector models; cointegration
• Language: croatian
• URN:NBN: urn:nbn:hr:148:335812
• Study programme: Title: Management of Financial Institutions; Study programme type: university; Study level: postgraduate specialist; Academic / professional title: sveučilišni/a specijalist/specijalistica upravljanja financijskim institucijama (sveučilišni/a specijalist/specijalistica upravljanja financijskim institucijama)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Access restricted to students and staff of home institution
• Created on: 2020-10-27 14:54:04