This article analyzes the transmission of financial systemic stress from the euro area to the Czech Republic. We employ a recently developed composite indicator of systemic stress (CISS), which has a unique construction reflecting the correlations between markets and so captures the systemic...

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...