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Analyses of the Czech Republic's Current Economic Alignment with the Euro Area 2013
Adam, Tomas; Kucharcukova, Oxana Babecka; Babecky, Jan; … - Česká Národní Banka
Persistent link: https://www.econbiz.de/10010734464
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Bank Capital and Liquidity Creation: Granger-Causality Evidence
Horváth, Roman; Seidler, Jakub; Weill, Laurent - In: Journal of Financial Services Research 45 (2014) 3, pp. 341-361
We examine the relation between capital and liquidity creation. This issue is interesting because of the potential impact on liquidity creation from tighter capital requirements such as those in Basel III. We perform Granger-causality tests in a dynamic GMM panel estimator framework on an...
Persistent link: https://www.econbiz.de/10010987898
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Bank capital and liquidity creation: Granger-causality evidence
Horváth, Roman; Seidler, Jakub; Weill, Laurent - 2012
We examine the relation between capital and liquidity creation. This issue is interesting because of the potential impact on liquidity creation from tighter capital requirements such as those in Basel III. We perform Granger-causality tests in a dynamic GMM panel estimator framework on an...
Persistent link: https://www.econbiz.de/10011605542
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The Influence of Housing Price Development on the Household Consumption: Empirical Analysis for the Czech Republic
Dvořáková, Sylvie; Seidler, Jakub - In: Bulletin of the Czech Econometric Society 20 (2013)
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Persistent link: https://www.econbiz.de/10011152549
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The Influence of Housing Price Developments on Household Consumption: Empirical Analysis for the Czech Republic
Dvoráková, Sylvie; Seidler, Jakub - Institut ekonomických studií, Univerzita Karlova v Praze - 2012
This paper studies how the change of wealth of households represented by housing prices and stock market prices influences households’ consumption. We provide empirical analysis based on the Czech aggregate data from 1998–2009. We analyse the effect of change in households’ wealth on the...
Persistent link: https://www.econbiz.de/10010575654
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Capital Buffers Based on Banks' Domestic Systemic Importance: Selected Issues
Skorepa, Michal; Seidler, Jakub - Česká Národní Banka - 2014
Regulators in many countries are currently considering ways to impose domestic systemic importance-based capital requirements on banks. Aiming to assist these considerations, this article discusses a number of issues concerning the calculation of a bank's systemic importance to the domestic...
Persistent link: https://www.econbiz.de/10010833276
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Coordination Incentives in Cross-Border Macroprudential Regulation
Derviz, Alexis; Seidler, Jakub - Česká Národní Banka - 2012
When national financial sector regulators need to mutually harmonize macroprudential policy decisions, imperfections of cross-border information exchange may undermine fair cooperation. Attempts to overcome the effects of informational distortions by delegating macroprudential policy to a...
Persistent link: https://www.econbiz.de/10010833293
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Capital buffers based on banks’ domestic systemic importance: selected issues
Skorepa, Michal; Seidler, Jakub - In: Journal of Financial Economic Policy 7 (2015) 3, pp. 207-220
Purpose – The purpose of this paper is to assist the numerous regulators around the globe who are currently considering ways to impose domestic systemic importance-based capital requirements on banks. Design/methodology/approach – The article discusses in some detail a number of issues from...
Persistent link: https://www.econbiz.de/10014867079
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Implied Market Loss Given Default in the Czech Republic: Structural-Model Approach
Seidler, Jakub; Jakubík, Petr - In: Czech Journal of Economics and Finance (Finance a uver) 59 (2009) 1, pp. 20-40
This paper focuses on the key credit risk parameter – Loss Given Default (LGD). We describe its general properties and determinants with respect to seniority of debt, characteristics of debtors and macroeconomic conditions. Furthermore, we illustrate how the LGD can be extracted from market...
Persistent link: https://www.econbiz.de/10005808652
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Yield Curve Dynamics - Regional Common Factor Model
Šopov, Boril; Seidler, Jakub - In: Prague Economic Papers 2011 (2011) 2, pp. 140-156
In this paper, we focus on thorough yield curve modelling. We build on extended classical Nelson-Siegel model, which we further develop to accommodate unobserved regional common factors. We centre our discussion on Central European currencies´ yield curves: CZK, HUF, PLN and SKK. We propose a...
Persistent link: https://www.econbiz.de/10009203504