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Brož, Václav; Kočenda, Evžen - 2021

the public, long-term systemic risk among banks tends to increase. From the dynamic perspective, bank penalties represent … long-term. In this respect, bank penalties resemble still waters that run deep. In contrast, a settlement with regulatory …

Persistent link: https://www.econbiz.de/10012697108

The impact of macro news and central bank communication on emerging European forex markets

Égert, Balázs; Kočenda, Evžen - 2013

We employ two-stage empirical strategy to analyze the impact of macroeconomic news and central bank communication on … currencies to central bank verbal interventions becomes important only during the crisis period, though. …

Persistent link: https://www.econbiz.de/10009764449

Media treatment of monetary policy surprises and their impact on firms' and consumers' expectations

Pinter, Julien; Kočenda, Evžen - 2023

Do firms' and consumers' expectations react to central bank announcements? Past literature has come to divergent …

Persistent link: https://www.econbiz.de/10014267174

Asymmetric connectedness on the US stock market : bad and good volatility spillovers

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility. Using data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric connectedness of stocks at the disaggregate level. Moreover, the...

Persistent link: https://www.econbiz.de/10010509638

Frequency volatility connectedness and portfolio hedging of U.S. energy commodities

Kočenda, Evžen; Moravcová, Michala - 2024

We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It fluctuates with respect to (i) different investment...

Persistent link: https://www.econbiz.de/10014456134