This study investigates the dynamic behavior of the sovereign CDS term premium for a group of European countries. The CDS term premium can be regarded as a forward-looking measure of idiosyncratic sovereign default risk as perceived by financial markets in real time. Using a Markov-switching...

This article is concerned with the regulation of banks on the basis of theirdifferent degrees of systemic importance. It proposes a specific approach to calculating a bank's systemic importance to the domestic banking sector. The article goes on to propose a method for assessing the additional...

This article sets out to describe an expanded and refined framework for stress testing the household sector. In contrast to the original tests conducted by the Czech National Bank since 2011, the new framework incorporates modelling of transitions between employment and unemployment at the level...

This article examines the extent to which housing prices affect the balance sheets and borrowing and consumption decisions of households in the Czech Republic and indirectly also their ability to repay their debts. Empirical results were obtained by applying the Propensity Score Matching (PSM)...

This article aims to characterise the effect of demand and supply factors on bank loans to non-financial corporations and to obtain a forecasting model for the main variables linked with corporate loans. Our estimate of credit supply conditions in the Czech Republic echoes the results of the...

As the two-way interaction between the financial sector and the government sector grows, so does the dependence between financial stability and fiscal stability. The high creditworthiness of government debt represents both a significant source of certainty for the financial system and a solid...

We analyze and quantify the determinants of asymmetric shocks showing up in the form of medium-term real exchange rate (RER) changes. First, we discuss sources of asymmetric shocks causing exchange rate variability and the role of the RER as a shock generator. Second, we use data for 21 advanced...

This paper investigates empirically to what extent financial variables can explain macroeconomic developments in the Czech Republic and how the results are sensitive to some (usually reasonable or routinely made) modeling choices. To this end, the dynamic model averaging/selection framework is...