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	Effects of macroeconomic shocks to the quality of the aggregate loan portfolio Babouček, Ivan ; Jančar, Martin The paper concerns macro-prudential analysis. It uses an unrestricted VAR model to empirically investigate transmission involving a set of macroeconomic variables describing the development of the Czech economy and the functioning of its credit channel in the past eleven years. Its novelty lies in the fact that it provides the first systematic assessment of the links between loan quality and macroeconomic shocks in the Czech context. Fulltext: PDF Detailed record
	Exchange rate in the new EU accession countries: What have we learned from the forerunners? Bulíř, Aleš ; Šmídková, Kateřina This study deals with the economic problems associated with the European Union. Estimation and simulation of sustainable real exchange rates in some of the new EU accession countries point to potential difficulties in sustaining the ERM2 regime if entered too soon and with weak policies. According to the estimates, the Czech, Hungarian, and Polish currencies were overvalued in 2003. Fulltext: PDF Detailed record
	Does Central Bank Financial Strength Matter for Inflation? An Empirical Analysis Soňa Benecká ; Benecká, Soňa ; Holub, Tomáš ; Kadlčáková, Narcisa Liliana ; Kubicová, Ivana This paper analyses empirically the link between central bank financial strength and inflation. The issue has become very topical in recent years as many central banks have accumulated large financial exposures and the risk of losses has risen. We conclude that even though some estimates show a statistically significant and potentially non-linear negative relationship between several measures of central bank financial strength and inflation, this link appears rather weak and not as robust as suggested by the previous – very limited – literature. Fulltext: PDF Detailed record
	Beyond Balassa - Samuelson: real appreciation in tradables in transtion countries Cincibuch, Martin ; Podpiera, Jiří Using the simple arbitrage model, writers of this work decompose real appreciation in tradables in three Central European countries between the pricing-to-market component (disparity) and the local relative price component (substitution ratio). Appreciation is only partially explained by local relative prices. The rest is absorbed by disparity, depending on the size of the no-arbitrage band. The observed disparity fluctuates in a wider band for differentiated products than for a commodity like goods. Fulltext: PDF Detailed record
	Granger Causality Evidence Horváth, Roman ; Seidler, Jakub ; Weill, Laurent This paper examines the relation between banks’ capital and liquidity creation. This issue is of interest to determine the potential impact of higher capital requirements for banks on their liquidity creation, which may have particular importance with new Basel III reform demanding from banks higher capital. We perform Granger-causality tests in a dynamic GMM panel estimator framework on an exhaustive dataset of Czech banks from 2000 to 2010. Fulltext: PDF Detailed record
	Changes in Inflation Dynamics under Inflation Targeting? Evidence from Central European Countries Baxa, Jaromír ; Plašil, Miroslav ; Vašíček, Bořek The purpose of this paper is to provide a novel look at the evolution of inflation dynamics in selected Central European (CE) countries. We use the lens of the New Keynesian Phillips Curve (NKPC) nested within a time-varying framework. Exploiting a time-varying regression model with stochastic volatility estimated using Bayesian techniques, we analyze both the closed and open-economy version of the NKPC. The results point to significant differences between the inflation processes in three CE countries. Fulltext: PDF Detailed record
	Eigenvalue decomposition of time series with application to the Czech business cycle Beneš, Jaromír ; Vávra, David The writers follow a Beveridge-Nelson like time series decomposition method (into trend, business cycle and irregular components), and examine a stylized model of price inflation determination using the Czech data. They characterize the estimated components of CPI, IPPI and import inflations, together with the real production wage and real output, and survey their basic correlation properties. Fulltext: PDF Detailed record
	Tracking Monetary-Fiscal Interactions Across Time and Space Franta, Michal ; Libich, Jan ; Stehlík, Petr The fiscal position of many countries is worrying – and getting worse. Should formally independent central bankers be concerned about observed fiscal excesses spilling over to monetary policy and jeopardizing price stability? To provide some insights, this paper tracks the interactions between fiscal and monetary policies in the data across time and space. Fulltext: PDF Detailed record
	Anatomy of the Czech labour market: from over-employment to under-employment in ten years? Flek, Vladislav ; Galuščák, Kamil ; Gottvald, Jaromír ; Hurník, Jaromír ; Jurajda, Štěpán ; Navrátil, David ; Mareš, Petr ; Münich, Daniel ; Sirovátka, Tomáš ; Večerník, Jiří This study investigates the macroeconomic aspects of labour market behaviour and its microfoundations. In the first part deals with aggregate labour market trends and issues relevant to macroeconomic policy. The second part analyses in more detail labour flexibility, namely labour market flows, long-term unemployment and labour force deprivation. The third part addresses wage flexibility and relative wages, with special attention paid to regional unemployment elasticity of wages and returns to education. Fulltext: PDF Detailed record
	Credit risk and bank lending in the Czech republic Kadlčáková, Narcisa ; Keplinger, Joerg This project undertakes an empirical analysis in credit risk modeling using a data sample representative of bank lending to the Czech corporate sector. A rating system is constructed using a proprietary database (Creditreform) that provides a solvency index for a large number of Czech firms. Several methods for the calibration and validation of a rating system are described and tested in practice. Fulltext: PDF Detailed record

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