The impact of monetary policy on the emergence of speculative bubbles in investment markets

The diploma thesis focuses on the issue of examining the relationship between monetary policy and the growth of asset prices on investment markets, specifically on the capital and real estate markets in the Czech Republic and Germany and the stock market in the USA. Its aim is to find a relationship between the setting of key interest rates by central banks and through the transmission mechanism between asset prices on investment markets. The diploma thesis describes the principle of monetary and macroprudential policy, the nature and identification of speculative bubbles, and characterizes selected theoretical directions and the emergence of a credit bubble. Then I focus on the history of speculative bubbles up to the current market situation. The empirical part of the thesis uses multiple linear regression in four econometric models focusing on the capital and real estate market in Germany and Czech Republic in the period from 2008 to 2021 using OLS, ARMA and corrected heteroscedasticity methods. From the econometric analysis, I conclude that there is a negative relationship between monetary policy and asset prices, because all econometric models show that if the central bank lowers interest rates in the economy, the real estate price index and the examines stock index PX and DAX will increase. Complementary analysis to the empirical part of the thesis is the PE analysis, which concludes that the capital market and in particular US stocks appear to be overvalued, using the example of the S&P 500 stock index by 46.98 %, compared to the set fundamental, historical average of the PE valuation ratio.