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What We Know About Monetary Policy Transmission in the Czech Republic: Collection of Empirical Results
Babecká Kucharčuková, Oxana ; Franta, Michal ; Hájková, Dana ; Král, Petr ; Kubicová, Ivana ; Podpiera, Anca ; Saxa, Branislav
This paper concentrates on describing the available empirical findings on monetary policy transmission in the Czech Republic. Besides the overall impact of monetary policy on inflation and output, it is useful to study its individual channels, in particular the interest rate channel, the exchange rate channel, and the wealth channel. The results confirm that the transmission of monetary impulses to the real economy works in an intuitive direction and to an intuitive extent. Our analyses show, however, that the global financial and economic crisis might have somewhat slowed and weakened the transmission. We found an indication of such a change in the functioning of the interest rate channel, where elevated risk premiums played a major role.
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The Effect of Non-Linearity Between Credit Conditions and Economic Activity on Density Forecasts
Franta, Michal
This paper examines the effect of non-linearities on density forecasting. It focuses on the relationship between credit markets and the rest of the economy. The possible non-linearity of this relationship is captured by a threshold vector autoregressive model estimated on the US data using Bayesian methods. Density forecasts thus account for the uncertainty in all model parameters and possible future regime changes. It is shown that considering nonlinearity can improve the probabilistic assessment of the economic outlook. Moreover, three illustrative examples are discussed to shed some light on the possible practical applicability of density forecasts derived from non-linear models.
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Macroeconomic Effects of Fiscal Policy in the Czech Republic: Evidence Based on Various Identification Approaches in a VAR Framework
Franta, Michal
The paper analyzes the macroeconomic effects of fiscal policy shocks in the Czech Republic. The low number of observations available for fiscal variables significantly affects the setup of the analysis. Firstly, a small-scale VAR is considered. Secondly, the model is estimated using Bayesian techniques. Finally, all identification approaches that are currently employed by the literature and that are applicable to the Czech Republic are used. The estimation results suggest that the fiscal policy transmission mechanism in the Czech Republic exhibits some standard features (e.g., a rise in GDP and inflation after unexpected government spending, and an increase in government spending after a positive shock to government revenues). However, the uncertainty associated with the results is substantial. Furthermore, it is discussed how the identification strategy itself may represent an additional source of uncertainty of the results. JEL
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Evaluating changes in the monetary transmission mechanism in the Czech republic
Franta, Michal ; Horváth, Roman ; Rusnák, Marek
Writers investigate the evolution of the monetary policy transmission mechanism in the Czech Republic over the 1996–2010 period by employing a time-varying parameters Bayesian vector autoregression model with stochastic volatility. They evaluate whether the response of GDP and the price level to exchange rate or interest rate shocks changes over time, with a focus on the period of the recent financial crisis.
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Are Bayesian fan charts useful for central banks?: uncertainty, forecasting, and financial stability stress tests
Franta, Michal ; Baruník, Jozef ; Horváth, Roman ; Šmídková, Kateřina
This paper shows how fan charts generated from Bayesian vector autoregression (BVAR) models can be useful for assessing 1) the forecasting accuracy of central banks’ prediction models and 2) the credibility of stress tests carried out to evaluate financial stability.
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Time Aggregation bias in discrete time models of aggregate duration data
Franta, Michal
he paper focuses on the dynamics of unemployment in the Czech Republic over the period 1992–2007. Unemployment dynamics are elaborated in terms of unemployment inflows and unemployment duration. The paper contributes to the literature dealing with discrete time models of aggregate unemployment duration data by accounting for time aggregation bias.
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Inflation persistence in new EU member states: Is it different than in the euro area members?
Franta, Michal ; Saxa, Branislav ; Šmídková, Kateřina
Writors of this paper confirm that one should work carefully with the usual estimation methods when analyzing the NMS, given the scope of the convergence process they went through. They show that due to frequent breaks in inflation time series in the NMS, parametric statistical measures assuming a constant mean deliver substantially higher persistence estimates for the NMS than for the euro area countries.
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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.
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Profesní segregace dle pohlaví v České republice
Jurajda, Š. ; Franta, Michal
We use Labor Force Survey data to provide detailed description and international comparison of the level and structure of occupational gender segregation in the Czech Republic during 1994-2004.

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17 Franta, Michal
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