Modelling of Financial Stress Index in the Czech Republic using Vector Autoregression Analysis
| Autor: | Mgr. Ján Malega |
|---|---|
| Rok: | 2015 - zimní |
| Vedoucí: | prof. Roman Horváth Ph.D. |
| Konzultant: | |
| Typ práce: | Diplomová Finance, finanční trhy a bankovnictví |
| Jazyk: | Anglicky |
| Stránky: | 68 |
| Ocenění: | |
| Odkaz: | https://is.cuni.cz/webapps/zzp/detail/138089/ |
| Abstrakt: | This study constructs a financial stress index with a specific focus on the case of the Czech Republic. The advantage of the index is primarily its ability to measure the current level of stress in the financial system incorporating information from various sectors of the economy and expressing it in a single-value statistic. Our index successfully recorded and evaluated critical periods of elevated financial stress especially during the recent financial crisis. Furthermore, we examine a systematic interaction between financial stress and the macroeconomics using vector autoregression analysis along with method of impulse responses. Based on our results we observe a significant and positive response of unemployment due to the shock in financial stress. Conversely, a negative effect was examined on inflation and interest rates. |
