Počet záznamů: 1
Monetary transmission and the financial sector in the Czech Republic
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SYSNO ASEP 0380423 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve SCOPUS Název Monetary transmission and the financial sector in the Czech Republic Tvůrce(i) Havránek, T. (CZ)
Horváth, R. (CZ)
Matějů, Jakub (NHU-C) RIDZdroj.dok. Economic Change and Restructuring - ISSN 1573-9414
Roč. 45, č. 3 (2012), s. 135-155Poč.str. 21 s. Forma vydání Tištěná - P Jazyk dok. eng - angličtina Země vyd. US - Spojené státy americké Klíč. slova transmission mechanism ; monetary policy ; Czech Republic Vědní obor RIV AH - Ekonomie CEP SVV 265801/2012 GA MŠMT - Ministerstvo školství, mládeže a tělovýchovy Institucionální podpora NHU-C - PRVOUK-P23 EID SCOPUS 84864424201 DOI 10.1007/s10644-011-9106-z Anotace In this paper, we examine the interactions of financial variables and the macroeconomy within the block-restriction vector autoregression model and evaluate to what extent the financial variables improve the forecasts of GDP growth and inflation. For this reason, various financial variables are examined, including those unexplored in previous literature, such as the share of liquid assets in the banking industry and the loan loss provision rate. Our results suggest that financial variables have a systematic and statistically significant effect on macroeconomic fluctuations. In terms of forecast evaluation, financial variables in general seem to improve the forecast of macroeconomic variables, but the predictive performance of individual financial variables varies over time, even though it strengthens during the 2008-2009 crisis. The results give some support for the risk-taking channel of monetary policy, as the level of the monetary policy rate is positively associated with the loan loss provision rate of commercial banks. Finally, a more stable financial system is found to contribute to faster economic growth. Pracoviště Národohospodářský ústav - CERGE Kontakt Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Rok sběru 2013
Počet záznamů: 1