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

0466511 - ÚTIA 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. E-ISSN 2336-730X
Grant CEP: GA ČR GA15-10331S
Institucionální podpora: RVO:67985556
Klíčová slova: financial stress indicator * vector autoregression * Czech Republic
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