Politická ekonomie 2020, 68(6):630-649 | DOI: 10.18267/j.polek.1296

Aplikace Taylorova pravidla na měnovou politiku ČNB

František Táborskýa
a Vysoká škola ekonomická v Praze, Fakulta financí a účetnictví, Praha, Česká republika

Application of the Taylor Rule to CNB Monetary Policy

This paper tests the usability of the Taylor rule under the conditions of the Czech economy using a single-equation error correction model in the period from 2000 to the second quarter of 2019 and finds key variables for the CNB's monetary policy setting. Other important monetary policy rules and their effect on the optimal monetary policy setting are also discussed. The starting point of the empirical part is a summary of the current monetary policy of the CNB and an analysis of its decision model. Since 2008, the new DSGE model g3 replaced the previous QPM model. At the end of the theoretical part, foreign experience and various approaches to the estimation of the Taylor rule are summarized. The CNB's two-week repo rate is best described by the size of the output gap in the domestic economy, the ECB's base refinancing rate, the change in the price level measured by the consumer price index and the previous value of the repo rate. The paper also analyses the relationship between the repo rate and the ECB's basic refinancing rates, confirming the historically high dependence of domestic monetary policy on the ECB's actions.

Keywords: Taylor rule, CNB, monetary policy, error correction model
JEL classification: C2, E43, E58

Received: January 29, 2020; Revised: July 5, 2020; Accepted: July 28, 2020; Published: December 21, 2020  Show citation

ACS AIP APA ASA Harvard Chicago Chicago Notes IEEE ISO690 MLA NLM Turabian Vancouver
Táborský, F. (2020). Application of the Taylor Rule to CNB Monetary Policy. Politická ekonomie, 68(6), 630-649. doi: 10.18267/j.polek.1296
Download citation
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Open full article

    References

    1. Andrle, M., Hlédik, T., Kameník, O., a kol. (2009). Implementing the New Structural Model of the Czech National Bank. ČNB. Dostupné z: https://www.cnb.cz/export/sites/cnb/en/economic-research/.galleries/research_publications/cnb_wp/cnbwp_2009_02.pdf
    2. Arlt, J., Arltová, M. (2009). Ekonomické časové řady. Praha: Professional Publishing. ISBN 978-80-86946-85-6.
    3. Arlt, J., Mandel, M. (2012). Je možné předpovídat repo sazbu ČNB na základě zpět hledícího měnového pravidla? Politická ekonomie, 60(4), 484-504, https://doi.org/10.18267/j.polek.858 Go to original source...
    4. Beneš, J., Hlédik, T., Kumhof, M., a kol. (2005). An Economy in Transition and DSGE: What the Czech National Bank's New Projection Model Needs. ČNB. Dostupné z: https://www.cnb.cz/en/economic-research/research-publications/cnb-working-paper-series/An-Economy-in-Transition-and-DSGE-What-the-Czech-National-Banks-New-Projection-Model-Needs-00001
    5. Bullard, J. (2014). Fed Goals and the Policy Stance. Federal Reserve Bank. Dostupné z: https://www.stlouisfed.org/~/media/Files/PDFs/Bullard/remarks/BullardOwensboroKYChamberofCommerce17July2014Final.pdf
    6. Clinton, K., Hlédik, T., Holub, T., a kol. (2017). Czech Magic: Implementing Inflation-Forecast Targeting at the CNB. International Monetary Fund. Washington, D.C. Working Paper No. 17/21, https://doi.org/10.5089/9781475572971.001 Go to original source...
    7. ČNB (2013). Zpráva o inflaci IV/2013. Česká národní banka. Dostupné z: https://www.cnb.cz/cs/menova_politika/zpravy_o_inflaci/2013/2013_IV/index.html
    8. ČNB (2019). Zpráva o inflaci III/2019. Česká národní banka. Dostupné z: https://www.cnb.cz/cs/menova_politika/zpravy_o_inflaci/2019/2019_III/index.html
    9. Filosa, R. (2001). Monetary Policy Rules in Some Mature Emerging Economies. BIS. Dostupné z: http://www.bis.org/publ/bppdf/bispap08b.pdf
    10. Friedman, M. (1968). The Role of Monetary Policy. The American Economic Review, 58(1), 1-17. Dostupné z: https://www.unibas.ch/fileadmin/wwz/redaktion/witheo/lehre/ 2009_FS/vwl4/doc/chapter8/Friedman_AER1968.pdf
    11. Hofmann, B., Bogdanova, B. (2012). Taylor Rules and Monetary Policy: A Global "Great Deviation"? BIS. Dostupné z: https://www.bis.org/publ/qtrpdf/r_qt1209f.pdf
    12. Horváth, R. (2008). Asymmetric Monetary Policy in the Czech Republic? Czech Journal of Economics and Finance. Dostupné z: https://www.cnb.cz/export/sites/cnb/en/economic-research/.galleries/research_publications/evaluation_infl_targets/evaluation_inf_targets_1998-2007_chap_09.pdf
    13. Kahn, G., Parrish, K. (1998). Conducting Monetary Policy with Inflation Targets. Economic Review - Federal Reserve Bank of Kansas City, 83(3). Dostupné z: https://www.questia.com/library/journal/1P3-35376745/conducting-monetary-policy-with-inflation-targets
    14. Klau, M., Mohanty, M. S. (2004). Monetary Policy Rules in Emerging Market Economies: Issues and Evidence. BIS. Working Paper No. 149, https://doi.org/10.2139/ssrn.901388 Go to original source...
    15. Leitemo, K., Söderström, U. (2001). Simple Monetary Policy Rules and Exchange Rate Uncertainty. Norges Bank. Dostupné z: https://www.frbsf.org/economic-research/files/0103conf1.pdf
    16. Lombardi, M., Zhu, F. (2014). A Shadow Policy Rate to Calibrate US Monetary Policy at the Zero Lower Bound. BIS. Working Papers No. 452. Dostupné z: https://www.bis.org/publ/work452.pdf
    17. Mandel, M., Tomšík, V. (2008). Monetární ekonomie v malé otevřené ekonomice. 2. rozš. vyd. Praha: Management Press. ISBN 978-80-7261-185-0.
    18. Mankiw, N. G. (2001). U.S. Monetary Policy During the 1990s. National Bureau of Economic Research. Cambridge, MA Working Paper No. 8471, https://doi.org/10.3386/w8471 Go to original source...
    19. Mccallum, B. (2002). The Use of Policy Rules in Monetary Policy Analysis, Shadow Open Market Committee. Dostupné z: http://www.somc.rochester.edu/Nov02/McCallum.pdf
    20. Orphanides, A. (1997). Monetary Policy Rules Based on Real-Time Data. Board of Governors of the Federal Reserve System. Dostupné z: https://www.federalreserve.gov/pubs/ feds/1998/199803/199803pap.pdf
    21. Rudebusch, D. (2006). Monetary Policy Inertia: Fact or Fiction? Federal Reserve Bank of San Francisco. Dostupné z: http://www.ijcb.org/journal/ijcb06q4a4.pdf
    22. Rudebusch, G. D., Svensson, L. E. O. (1998). Policy Rules for Inflation Targeting. National Bureau of Economic Research. Cambridge, MA Working Paper No. 6512, http://doi.org/10.3386/w6512 Go to original source...
    23. Siklos, P. L., Wohar, M. E. (2004). Estimating Taylor-Type Rules: An Unbalanced Regression? Annual Conference in Econometrics: Econometric, http://doi.org/10.2139/ssrn.621244 Go to original source...
    24. Taušer, J., Arltová, M., Žamberský, P. (2015). Czech Exports and German GDP: A Closer Look. Prague Economic Papers, 24(1), 17-37, https://doi.org/10.18267/j.pep.498 Go to original source...
    25. Taylor, J. (1993). Discretion versus Policy Rules in Practice. Carnegie-Rochester Conference Series on Public Policy, 39, 195-214. Dostupné z: http://web.stanford.edu/~johntayl/Papers/Discretion.PDF Go to original source...
    26. Taylor, J. (1998). An Historical Analysis of Monetary Policy Rules. National Bureau of Economic Research. Cambridge, MA Working Paper No. 6768, https://doi.org/10.3386/w6768 Go to original source...
    27. Taylor, J. (2001). The Role of the Exchange Rate in Monetary-Policy Rules. AEA Papers and Proceedings. Stanford University. Dostupné z: https://web.stanford.edu/~johntayl/Onlinepaperscombine dbyyear/2001/The_Role_of_the_Exchange_Rate_in_Monetary-Policy_Rules.pdf Go to original source...

    This is an open access article distributed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY NC ND 4.0), which permits non-comercial use, distribution, and reproduction in any medium, provided the original publication is properly cited. No use, distribution or reproduction is permitted which does not comply with these terms.


    Return to the content