This paper analyzes the evolution of the systematic risk of the banking industries in eight advanced countries using weekly data from 1990 to 2012. Time-varying betas are estimated by means of a Bayesian state-space model with stochastic volatility, whose results are contrasted with those of the...

We examine the information content of U.S. Fed voting records under the Greenspan chairmanship. We find that the voting records of FOMC members, as captured by the difference between the average voted-for and actually implemented policy rate, signal the future course of monetary policy. The...

The iid property of the model’s residuals is a crucial criterion for assessing the fit of the model to the data. GARCH-class models are the most commonly used nonlinear models in financial econometrics. In this paper various uni- and multivariate GARCH-class models were applied to selected...

Pension funds represent a substantial part of welfare systems, so efficient management is important for beneficiaries. However, performance may be seriously affected by fees. This fact led us to analyze the relation between fees and performance in Spanish equity and bond pension funds with a...

Having witnessed the consequences of the financial crisis for the real economy, we find it desirable to look back and analyze the Czech economy ex post. We work with a Swedish New Keynesian model of a small open economy which embeds financial frictions in light of the financial accelerator...

We examine whether confidence indicators—and their underlying components—improve the forecasts of future economic activity. Using quarterly data from the Czech Republic in 1999–2011, we estimate a vector autoregression model of the Czech economy (consisting of several commonly used...

This study examines the causal relationship between economic growth and financial development in Poland on the basis of quarterly data for the period 2000 Q1–2011 Q4. In order to examine the impact of the 2008 financial crisis on the structure of financial sector- GDP links in Poland we...

This paper describes the stress-testing framework used in the Czech central bank and focuses on the general question of how to calibrate the models and parameters used to stress test the most important risks in the banking system. The paper argues that stress tests should be calibrated...