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Financial Stress in the Czech Republic: Measurement and Effects on the Real Economy
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SYSNO ASEP 0466511 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Financial Stress in the Czech Republic: Measurement and Effects on the Real Economy Author(s) Horváth, Roman (UTIA-B) RID
Malega, J. (CZ)Number of authors 2 Source Title Prague Economic Papers. - : Vysoká škola ekonomická v Praze - ISSN 1210-0455
Roč. 2017, č. 3 (2017), s. 257-268Number of pages 12 s. Publication form Print - P Language eng - English Country CZ - Czech Republic Keywords financial stress indicator ; vector autoregression ; Czech Republic Subject RIV AH - Economics OECD category Finance R&D Projects GA15-10331S GA ČR - Czech Science Foundation (CSF) Institutional support UTIA-B - RVO:67985556 UT WOS 000403383400001 EID SCOPUS 85020399292 DOI 10.18267/j.pep.608 Annotation 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.Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2018
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