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Inflation Targeting and the Role of Real Objectives
Walsh, Carl - Česká Národní Banka - 2007
In this paper, I focus on two aspects of central banking – flexibility and transparency – that have been affected by monetary policy debates over the past twenty years. Because criticism of inflation targeting, at least in the United States, often focuses on the...
Persistent link: https://www.econbiz.de/10005765491
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Early Warning Indicators of Economic Crises: Evidence from a Panel of 40 Developed Countries
Babecky, Jan; Havranek, Tomas; Mateju, Jakub; Rusnak, Marek - Česká Národní Banka - 2011
Using a panel of 40 EU and OECD countries for the period 1970-2010 we construct an early warning system. The system consists of a discrete and a continuous model. In the discrete model, we collect an extensive database of various types of economic crises called CDEC 40-40 and examine potential...
Persistent link: https://www.econbiz.de/10009358976
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Inflation and the Steeplechase Between Economic Activity Variables
Baxa, Jaromir; Plasil, Miroslav; Vasicek, Borek - Česká Národní Banka - 2013
A sharp increase in unemployment accompanied by a relatively muted response of inflation during the Great Recession cast further doubts on the validity of the Phillips curve. With the aid of dynamic model averaging (Raftery et al., 2010), this paper aims to highlight that the existence of a...
Persistent link: https://www.econbiz.de/10011156774
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Short-Term Determinants of the Idiosyncratic Sovereign Risk Premium: A Regime-Dependent Analysis for European Credit Default Swaps
Calice, Giovanni; Miao, RongHui; Sterba, Filip; … - Česká Národní Banka - 2013
-term dynamics of the entire CDS term premium. The strongest impacts can be attributed to CDS market liquidity, local stock returns …
Persistent link: https://www.econbiz.de/10010736861
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Contagion Risk in the Czech Financial System: A Network Analysis and Simulation Approach
Hausenblas, Vaclav; Kubicova, Ivana; Lesanovska, Jitka - Česká Národní Banka - 2012
of domestic banks enriched by a liquidity channel and an asset price channel over the period March 2007 to June 2012. A … was rather limited. Even after the introduction of a liquidity condition into the simulations, the average contagion was …. Activation of the asset price channel further increases the losses due to interbank contagion, showing that liquidity of …
Persistent link: https://www.econbiz.de/10010833291
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Financial Frictions, Bubbles, and Macroprudential Policies
Derviz, Alexis - Česká Národní Banka - 2011
We explore the ability of a macroprudential policy instrument to dampen the consequences of equity mispricing (a bubble) and the correction thereof (the bubble bursting), as well as the consequences for real activity in a production economy. In our model, producers are financed by both bank debt...
Persistent link: https://www.econbiz.de/10009322475
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Credit Growth and Capital Buffers: Empirical Evidence from Central and Eastern European Countries
Gersl, Adam; Seidler, Jakub - Česká Národní Banka - 2011
Excessive credit growth is often considered to be an indicator of future problems in the financial sector. This paper examines the issue of how to determine whether the observed level of private sector credit is excessive in the context of the “countercyclical capital bufferâ€, a...
Persistent link: https://www.econbiz.de/10009385747
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Predicting Bank CAMELS and S&P Ratings: The Case of the Czech Republic
Derviz, Alexis; Podpiera, Jiri - Česká Národní Banka - 2004
In this paper we investigate the determinants of the movements in the long-term Standard & Poors and CAMELS bank ratings in the Czech Republic during the period when the three biggest banks, representing approximately 60% of the Czech banking sector's total assets, were privatized (i.e., the...
Persistent link: https://www.econbiz.de/10005094111
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Monetary Policy Rules with Financial Instability
Bauducco, Sofia; Bulir, Ales; Cihak, Martin - Česká Národní Banka - 2008
To provide a rigorous analysis of monetary policy in the face of financial instability, we extend the standard dynamic stochastic general equilibrium model to include a financial system. Our simulations suggest that if financial instability affects output and inflation with a lag, and if the...
Persistent link: https://www.econbiz.de/10005765482
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Heterogeneity in Bank Pricing Policies: The Czech Evidence
Horvath, Roman; Podpiera, Anca Maria - Česká Národní Banka - 2009
In this paper, we estimate the interest rate pass-through from money market to bank interest rates using various heterogeneous panel cointegration techniques to address bank heterogeneity. Based on our micro-level data from the Czech Republic, the results indicate that the nature of interest...
Persistent link: https://www.econbiz.de/10008552155