We study the impact of collateral diversification by non-financial firms on systemic risk in a general equilibrium model with standard production functions and mixed debt-equity financing. Systemic risk comes about as soon as firms diversify their collateral by holding claims on a big wholesale...

This paper examines the potential for concurrence of crises in the foreign exchange, stock, and government bond markets as well as identifying asset price misalignments from equilibrium for three Central European countries and the euro area. Concurrence is understood as the joint occurrence of...

We survey discretionary measures of Czech fiscal policy in the period 2001-2011 and analyze their episodes and macroeconomic impacts. We use bottom-up and top-down methods to identify fiscal discretion and we compare the results with Kalman filtering. Fiscal discretion is found to be used...

This paper examines the usefulness of Google Trends data for forecasting mortgage lending in the Czech Republic. While the official monthly statistics on mortgage lending come with a publication lag of one month, the data on how often people search for mortgage-related terms on the internet are...

The purpose of this article is to contribute to the modelling of the cross-sectional dimension of systemic risk. First, the network of financial linkages in the Czech economy is mapped and then a model of inter-sector transmission of financial contagion is presented. The model is used to...

The crisis has brought the issue of regulating large, complex and highly interconnected financial institutions back into the spotlight. Supervisory and other competent authorities have discovered that they have only limited ways of preventing an idiosyncratic shock in one institution from...

This paper focuses on the forecasting process at the Czech National Bank with an emphasis on incorporating expert judgments into forecasts and addressing data uncertainty. At the beginning, the core model and the forecasting process are described and it is presented how data and the underlying...

The project is focused on top-down stress testing of the Czech insurance sector. The aim of the present paper is to describe the advanced method for macro stress testing of insurance companies used by the CNB. We apply the presented stress test to eleven Czech insurance companies. The shocks...

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...