We examine the effects of the Czech National Bank communication, macroeconomic news and interest rate differential on exchange rate volatility using generalized autoregressive conditional heteroscedasticity model. Our results suggest that central bank communication has a calming effect on...

Most empirical studies on price setting that use micro data focus on advanced industrial countries. In this paper we analyze the experience of an emerging economy, Slovakia, using a large micro-level dataset that accounts for a substantial part of the consumer price index (about 5 million...

In this paper, we examine the effects of Czech monetary policy on the economy within VAR and the structural VAR framework. Subject to various sensitivity tests, we find that contractionary monetary policy shock has a negative effect on the degree of economic activity and price level, both with a...

In this article, we provide evidence on the nature and the relative importance of domestic and foreign shocks -- with a focus on monetary shocks -- in the Slovak economy based on the block-restriction vector autoregression model during the years 1999-2007. We document a well-functioning monetary...

This paper examines the time-varying policy neutral interest rate in real time for the Czech Republic in 2001:1--2006:09, estimating various specifications of simple Taylor-type monetary policy rules. For this reason, we apply a structural time-varying parameter model with endogenous regressors....

This paper estimates the medium-term determinants of the bilateral exchange rate variability and exchange rate pressures for 20 developed countries in the 1990s. The results suggest that the optimum currency area criteria explain the dynamics of bilateral exchange rate variability and pressures...

The paper provides an empirical analysis of inflation persistence in the Czech Republic using 412 detailed product-level consumer price indexes underlying the consumer basket over the period from 1994:M1 to 2005:M12. Subject to various sensitivity tests, our results suggest that raw goods and...

This paper analyses a hypothesis, whether an asymmetric monetary policy could contribute to the undershooting of the inflation targets of the Czech National Bank in the years 1998-2007. To this goal, a non-linear Taylor Rule has been estimated. The results indicate that – upon the...