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master's thesis
Procjena utjecaja šokova na makroprudencijalnu politiku u Republici Hrvatskoj
Zagreb: University of Zagreb, Faculty of Economics and Business, 2022. urn:nbn:hr:148:107464
Sovulj, Luka
University of Zagreb
Faculty of Economics and Business
Department of Macroeconomics and Economic Development

Institutional repository: REPEFZG

Cite this document

Sovulj, L. (2022). Procjena utjecaja šokova na makroprudencijalnu politiku u Republici Hrvatskoj (Master's thesis). Zagreb: University of Zagreb, Faculty of Economics and Business. Retrieved from https://urn.nsk.hr/urn:nbn:hr:148:107464

Sovulj, Luka. "Procjena utjecaja šokova na makroprudencijalnu politiku u Republici Hrvatskoj." Master's thesis, University of Zagreb, Faculty of Economics and Business, 2022. https://urn.nsk.hr/urn:nbn:hr:148:107464

Sovulj, Luka. "Procjena utjecaja šokova na makroprudencijalnu politiku u Republici Hrvatskoj." Master's thesis, University of Zagreb, Faculty of Economics and Business, 2022. https://urn.nsk.hr/urn:nbn:hr:148:107464

Sovulj, L. (2022). 'Procjena utjecaja šokova na makroprudencijalnu politiku u Republici Hrvatskoj', Master's thesis, University of Zagreb, Faculty of Economics and Business, accessed 30 December 2024, https://urn.nsk.hr/urn:nbn:hr:148:107464

Sovulj L. Procjena utjecaja šokova na makroprudencijalnu politiku u Republici Hrvatskoj [Master's thesis]. Zagreb: University of Zagreb, Faculty of Economics and Business; 2022 [cited 2024 December 30] Available at: https://urn.nsk.hr/urn:nbn:hr:148:107464

L. Sovulj, "Procjena utjecaja šokova na makroprudencijalnu politiku u Republici Hrvatskoj", Master's thesis, University of Zagreb, Faculty of Economics and Business, Zagreb, 2022. Available at: https://urn.nsk.hr/urn:nbn:hr:148:107464

Metadata
TitleProcjena utjecaja šokova na makroprudencijalnu politiku u Republici Hrvatskoj
Title (english)Impact of shocks on macroprudential policy in the Republic of Croatia
AuthorLuka Sovulj
MentorVladimir Arčabić (mentor)
Committee memberVladimir Arčabić (predsjednik povjerenstva)
Committee memberTomislav Globan (član povjerenstva)
Committee memberJakša Krišto (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Economics and Business
(Department of Macroeconomics and Economic Development)
Zagreb
Defense date and country2022-09-21, Croatia
Scientific / art field,
discipline and subdiscipline		SOCIAL SCIENCES
Economics
Macroeconomics
Abstract
Svjetska financijska kriza pokazala je magnitudu troškova koje generiraju financijske krize. Primjerice, eurozoni je trebalo čak 27 tromjesečja da se vrati na predkriznu razinu BDP. Iako je kroz povijest bilo mnoštvo financijskih kriza, kriza 2008. godine bila je među najvećima te je fundamentalno promijenila razmišljanje nositelja ekonomskih politika o važnosti financijske stabilnosti. Nakon krize raste važnost makroprudencijalne politike te središnje banke počinju aktivnije provoditi makroprudencijalnu politiku. Unutar eurozone osniva se Europski odbor za sistemske rizike, a u Hrvatskoj se 2013. godine osniva Vijeće za financijsku stabilnost. U ovom diplomskom radu konstruira se bajezijanski (engl. Bayesian) vektorsko autoregresijski model s ograničenjima predznaka (BVAR) kako bi se identificirali šokovi potražnje i bankovnog kapitala te proučavao njihov utjecaj na makroprudencijalnu politiku. Radi analize utjecaja šokova na makroprudencijalnu politiku konstruira se Indeks makroprudencijalne politike (Budnik i Kleibl, 2018a.; Bambulović i Valdec, 2019.). Rezultati BVAR modela pokazuju da u situaciji šoka bankovnog kapitala dolazi do blagog pada Indeksa makroprudencijalne politike. U slučaju šoka potražnje dolazi do blagog rasta Indeksa makroprudencijalne politike.
Abstract (english)
The global financial crisis has demonstrated the costs generated by financial crises. It took the Eurozone as much as 27 quarters to return to the level of GDP it had before the crisis. Although there have been many financial crises throughout history, the 2008 crisis was among the biggest and fundamentally changed the thinking of policymakers about the importance of financial stability. After the crisis, the importance of macroprudential policy grows, and central banks begin to actively implement macroprudential policy. Within the eurozone, the European Committee for Systemic Risks is established, and in Croatia, the Council for Financial Stability is established in 2013. In this thesis, a Bayesian vector autoregression model with sign restrictions (BVAR) is constructed to identify demand and bank capital shocks and to study their impact on macroprudential policy. In order to analyze the impact of shocks on macroprudential policy, the Macroprudential Policy Index is constructed (Budnik and Kleibl, 2018; Bambulović and Valdec, 2019). The results of the BVAR model are as follows: i) in a situation of bank capital shock, there is a slight decline in the Macroprudential Policy Index while ii) in the event of a demand shock, there is a slight increase in the Macroprudential Policy Index.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:148:107464
Study programmeTitle: Economics
Study programme type: university
Study level: integrated undergraduate and graduate
Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
Type of resourceText
File originBorn digital
Access conditionsAccess restricted to students and staff of home institution
Terms of useLicence In copyright icon
Created on2022-09-29 11:56:16