Počet záznamů: 1  

Financial Stress in the Czech Republic: Measurement and Effects on the Real Economy

  1. 1.
    0466511 - UTIA-B 2018 RIV CZ eng J - Článek v odborném periodiku
    Horváth, Roman - Malega, J.
    Financial Stress in the Czech Republic: Measurement and Effects on the Real Economy.
    Prague Economic Papers. Roč. 2017, č. 3 (2017), s. 257-268. ISSN 1210-0455
    Grant CEP: GA ČR GA15-10331S
    Institucionální podpora: RVO:67985556
    Klíčová slova: financial stress indicator * vector autoregression * Czech Republic
    Kód oboru RIV: AH - Ekonomie
    Obor OECD: Finance
    Impakt faktor: 0.409, rok: 2017
    http://library.utia.cas.cz/separaty/2017/E/horvath-0466511.pdf

    We estimate a financial stress index for the Czech Republic and examine its development during
    the 2002–2014 period. We find a marked increase in financial stress at the beginning of the global
    financial crisis with a  decrease to nearly pre-crisis levels by the  end of  our study period. Next,
    we estimate vector autoregression models of the Czech economy and find that financial stress
    has systematic effects on output, prices and interest rates, with the maximum response occurring
    approximately one and a  half years after the  shock. Specifically, an  increase in  financial stress
    is associated with higher unemployment, lower prices and lower interest rates, indicating its
    detrimental effects on the real economy.
    Trvalý link: http://hdl.handle.net/11104/0270592