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Financial Stress in the Czech and Slovak Republic: Measurement and Effects on the Real Economy
Malega, Ján ; Horváth, Roman (advisor) ; Cingl, Lubomír (referee)
In the scope of this thesis, we estimate a financial stress index particularly for the Czech Republic with application for Slovakia, and examine its development during the period 2002-2014. The advantage of the index is primarily its ability to measure the current level of stress in the financial system incorporating information from various sectors of the economy and expressing it in a single-value statistic. We find a marked increase in financial stress at the beginning of the global financial crisis and European sovereign debt crisis with a decrease to nearly pre-crisis levels by the end of our study period. Next, we estimate vector autoregression models and find out that financial stress has systematic effects on unemployment, prices and interest rates, with the maximum response occurring approximately one to two years after the shock in the Czech Republic, and with a half-year delay in Slovakia. 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. JEL Classification G17, G32 Keywords financial stress index, vector autoregression, impulse responses
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Financial Stress in the Czech and Slovak Republic: Measurement and Effects on the Real Economy
Malega, Ján ; Horváth, Roman (advisor) ; Cingl, Lubomír (referee)
In the scope of this thesis, we estimate a financial stress index particularly for the Czech Republic with application for Slovakia, and examine its development during the period 2002-2014. The advantage of the index is primarily its ability to measure the current level of stress in the financial system incorporating information from various sectors of the economy and expressing it in a single-value statistic. We find a marked increase in financial stress at the beginning of the global financial crisis and European sovereign debt crisis with a decrease to nearly pre-crisis levels by the end of our study period. Next, we estimate vector autoregression models and find out that financial stress has systematic effects on unemployment, prices and interest rates, with the maximum response occurring approximately one to two years after the shock in the Czech Republic, and with a half-year delay in Slovakia. 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. JEL Classification G17, G32 Keywords financial stress index, vector autoregression, impulse responses
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Modelling of Financial Stress Index in the Czech Republic using Vector Autoregression Analysis
Malega, Ján ; Horváth, Roman (advisor) ; Cingl, Lubomír (referee)
This study constructs a financial stress index with a specific focus on the case of the Czech Republic. The advantage of the index is primarily its ability to measure the current level of stress in the financial system incorporating information from various sectors of the economy and expressing it in a single-value statistic. Our index successfully recorded and evaluated critical periods of elevated financial stress especially during the recent financial crisis. Furthermore, we examine a systematic interaction between financial stress and the macroeconomics using vector autoregression analysis along with method of impulse responses. Based on our results we observe a significant and positive response of unemployment due to the shock in financial stress. Conversely, a negative effect was examined on inflation and interest rates. JEL Classification G17, G32 Keywords financial stress index, vector autoregression, impulse responses
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