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Economic Research Bulletin (2012, No.2)
Česká národní banka
2012 - English
The importance of analysing the interactions between financial stability and monetary policy and its effects on macroeconomic fluctuations has risen substantially during the current financial crisis. This edition of the Research Bulletin is focused on five articles which analyse these interactions from various angles. The first article examines the effect of tighter macroprudential and monetary policies on output. According to this research, in comparison to monetary policy, macroprudential policy may be less costly, as it has less adverse effects on bank earnings. The second article examines to what extent financial frictions matter for macroeconomic fluctuations. The results suggest that the effect of financial frictions on macroeconomic fluctuations is sizeable only when financial stress is sufficiently high. The third article focuses on the relation between central bank finances and inflation. The article concludes that central bank losses are unlikely to represent a threat to price stability. The fourth article examines whether low monetary policy rates may increase commercial banks’ risk-taking. It finds that too low an interest rate may lead to a build-up of long-term risks to financial stability, but a lower interest rate during the life of a loan reduces its riskiness. The fifth article examines the interactions between bank capital and bank liquidity creation. The results indicate that greater capital requirements are beneficial for financial stability but may have an adverse effect on bank liquidity creation.
Keywords:
central banks; macroeconomy; Czech national bank; centrální banka cedulová; ekonomický výzkum; makroekonomie
Available in a digital repository NRGL
Economic Research Bulletin (2012, No.2)
The importance of analysing the interactions between financial stability and monetary policy and its effects on macroeconomic fluctuations has risen substantially during the current financial crisis. ...
Economic research bulletin (2012, No.1)
Česká národní banka
2012 - English
The first article performs an empirical investigation of the accuracy of Czech quarterly GDP forecasts of various models which extract information from the available monthly indicators. The forecast performance of the eight models is compared mutually and with the historical near-term forecasts of the CNB’s staff. The second article assesses the practical usability of Bayesian fan charts for the purposes of CNB forecast evaluation and financial stability stress testing. The third article evaluates the accuracy of Consensus Economics forecasts by comparison with the alternative forecasts including those of international organisations. Furthermore, the impact of the recent crisis on forecast performance is investigated. The last article analyses the extent to which private analysts coordinate their forecasts with those produced by the Czech National Bank, and whether such coordination changes over time.
Keywords:
Czech national bank; macroeconomy; central banks; ekonomický výzkum; centrální banka cedulová; makroekonomie; hrubý domácí produkt
Available in a digital repository NRGL
Economic research bulletin (2012, No.1)
The first article performs an empirical investigation of the accuracy of Czech quarterly GDP forecasts of various models which extract information from the available monthly indicators. The forecast ...
Economic research bulletin (2011, No.2)
Česká národní banka
2011 - English
The first article presents a model that incorporates credit frictions and serves to describe the dynamics of credit spreads in moderate as well as crisis times. The model is then used to evaluate the effects of quantitative easing and credit easing. The second article proposes a model that shows how the conditions of a parent bank might affect the interest rate setting of its subsidiary or branch in a foreign country, and is followed by an empirical assessment of the ten largest banks in the Czech Republic under foreign control. The remaining papers are of an empirical nature. The third article investigates the household credit market in the Czech Republic, proposing a new indicator of default risk and examining its determinants. The fourth article evaluates the extent to which financial variables help predict key Czech macroeconomic indicators. The last article presents evidence on the degree and evolution of financial integration of the Czech Republic and four other EU countries outside the euro area.
Keywords:
Czech national bank; macroeconomy; multinational banks; financial markets; ekonomický výzkum; Evropská unie; mezinárodní podnik; makroekonomie
Available in a digital repository NRGL
Economic research bulletin (2011, No.2)
The first article presents a model that incorporates credit frictions and serves to describe the dynamics of credit spreads in moderate as well as crisis times. The model is then used to evaluate the ...
Economic research bulletin (2011, No.1)
Česká národní banka
2011 - English
The first article gives a fairly general description of how monetary policy was conducted in a group of developed countries during the last three decades and shows how interest rate setting changed in response to various changes in the institutional framework, such as the adoption of inflation targeting. The second article tackles the classical issue of the money and inflation nexus. Although the benefits of money in policy analysis have been questioned by many commentators, the forecasting exercises carried out in this article lend some support to the role of money for policy analysis. The third article investigates the main channels of monetary transmission mechanisms and finds a well-functioning monetary transmission in the Czech Republic. Last but not least, the fourth article deals with the question of how the Czech National Bank is viewed by the media. The authors show that even surprising policy moves do not reduce the favourableness of media assessment, and emphasise the role of timely and clear central bank communication in this respect.
Keywords:
Czech national bank; monetary policy; inflation; ekonomický výzkum; centrální banka cedulová; inflace; monetární politika
Available in a digital repository NRGL
Economic research bulletin (2011, No.1)
The first article gives a fairly general description of how monetary policy was conducted in a group of developed countries during the last three decades and shows how interest rate setting changed in ...
Economic research bulletin (2010, No.2)
Česká národní banka
2010 - English
This edition of the Research Bulletin is devoted to the issue of wage adjustment in Europe, based on three articles produced within the European Central Bank Wage Dynamics Network working group. The articles summarise results from a harmonised firm-level survey on wage and price setting conducted in 15 countries of the European Union.
Keywords:
Czech national bank; price formation; nominal and real wage; labour market; ekonomický výzkum; Evropská unie; nominální mzda; reálná mzda; trh práce
Available in a digital repository NRGL
Economic research bulletin (2010, No.2)
This edition of the Research Bulletin is devoted to the issue of wage adjustment in Europe, based on three articles produced within the European Central Bank Wage Dynamics Network working group. The ...
Economic research bulletin (2010, No.1)
Česká národní banka
2010 - English
The first aticle formed the basis for the current CNB forecasting framework. The second one significantly shaped the discussions about the implications of the CNB’s losses. The third one established which methodologies and which data can be used to identify bubbles in the Czech housing market. The fourth introduced Beveridge curve estimates into the CNB’s policy documents. There are, of course, other papers that have influenced the CNB’s policy thinking. Some of them were featured in previous Bulletins and some are still work-in-progress. It is our hope that the CNB’s economic research will continue contributing to policy debates in the next ten years.
Keywords:
Czech national bank; central banks; unemployment; economy; ekonomický výzkum; centrální banka cedulová; nezaměstnanost; ekonomika
Available in a digital repository NRGL
Economic research bulletin (2010, No.1)
The first aticle formed the basis for the current CNB forecasting framework. The second one significantly shaped the discussions about the implications of the CNB’s losses. The third one established ...
Economic research bulletin (2009, No.2)
Česká národní banka
2009 - English
The first article in this edition, employing stress-testing procedures, assesses the determinants of the ability of Czech banks as compared to German ones to withstand credit and macroeconomic risks. The second article scrutinises the role of quality of banks’ management in bank failures, also testing whether there were differences between Czech-owned and foreign-owned banks. In the third article a modelling framework is proposed showing how the central bank’s knowledge of the health of the financial system could be used for the optimal conduct of monetary policy. The last article empirically examines developments in the integration of stock markets in the Czech Republic, Hungary, Poland and Slovakia vis-à-vis the euro area.
Keywords:
Czech national bank; credit risk; banking market; monetary policy; European Union; úvěry; ekonomický výzkum; monetární politika; Evropská unie
Available in a digital repository NRGL
Economic research bulletin (2009, No.2)
The first article in this edition, employing stress-testing procedures, assesses the determinants of the ability of Czech banks as compared to German ones to withstand credit and macroeconomic risks. ...
Economic research bulletin (2009, No.1)
Česká národní banka
2009 - English
This issue tries to figure out which deviation factors were important in the Czech case. The presented articles propose several potential suspects: a series of shocks, the forecasting system and the decision-making system. The articles then suggest which methodologies could be used to decipher the deviation puzzle and provide empirical results for the Czech case. These results suggest that deviations of inflation from the target in the past decade cannot be explained by a single factor in the Czech case, and that the role of each factor changed over time. Anti-inflationary shocks are the most frequently identified source of the deviations. In the initial stage of inflation targeting, the forecasting system and the decision-making process also contributed. The analysis of factors contributing to deviations of inflation from the target provides useful lessons for improving the inflation targeting strategy. For example, a less rigid forecasting system seems to be more beneficial than a forecasting system that is changed only very rarely.
Keywords:
Czech national bank; inflation; central banks; ekonomický výzkum; inflace; centrální banka cedulová; ekonomická rovnováha
Available in a digital repository NRGL
Economic research bulletin (2009, No.1)
This issue tries to figure out which deviation factors were important in the Czech case. The presented articles propose several potential suspects: a series of shocks, the forecasting system and the ...
Economic research bulletin (2008, No.2)
Česká národní banka
2008 - English
This issue of the CNB Research Bulletin is devoted to recent articles further enriching the current scope of theoretical frameworks, in particular dynamic stochastic general equilibrium (DSGE) models. DSGE models reflect the maximisation of the objectives of households and firms. The advantage of this approach is that it summarises the view of economic agents in a theoretically coherent way and imposes discipline on the interpretation of economic behaviour. The first three articles address the issue of optimal monetary policy strategy. Monetary policy rules and subsequent welfare analyses are central in their contribution to the literature. The fourth article deals with long-run trends.
Keywords:
Czech national bank; monetary policy; economy; ekonomický výzkum; monetární politika; prognostika; ekonomika
Available in a digital repository NRGL
Economic research bulletin (2008, No.2)
This issue of the CNB Research Bulletin is devoted to recent articles further enriching the current scope of theoretical frameworks, in particular dynamic stochastic general equilibrium (DSGE) models. ...
Economic research bulletin (2007, No.2)
Česká národní banka
2007 - English
This issue of the CNB Research Bulletin is focused on fiscal policy. The first article – by Aleš Krejdl – summarises the different approaches to fiscal sustainability and then applies two of the most widely used indicators – the primary gap and the tax gap – to the Czech fiscal outlook. Another way of addressing fiscal sustainability is to develop generational accounts. This is done – for the first time in the case of the Czech Republic – in the article by Kamil Dybczak. This approach sheds new light on how (un)fair our current fiscal policy is from the intergenerational perspective. The last article – by Alena Bičáková, Jiří Slačálek and Michal Slavík – aims to quantify the impact of labour taxation on labour supply and consequently on the fiscal balance. Again, this is the first time that such an analysis has been performed on the Czech economy.
Keywords:
Czech national bank; fiscal policy; macroeconomic; ekonomický výzkum; fiskální politika; hospodářská politika; ekonomika
Available in a digital repository NRGL
Economic research bulletin (2007, No.2)
This issue of the CNB Research Bulletin is focused on fiscal policy. The first article – by Aleš Krejdl – summarises the different approaches to fiscal sustainability and then applies two of the most ...
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