Publication detail

Financial Stress Spillover and Financial Linkages Between the Euro Area and the Czech Republic

Author(s): PhDr. Tomáš Adam ,
PhDr. Soňa Pokutová - Benecká ,
Type: Articles in journals with impact factor
Year: 2013
Number: 1
ISSN / ISBN:
Published in: Czech Journal of Economics and Finance
Publishing place:
Keywords: systemic risk, financial crises, financial stress index, financial linkages
JEL codes: E44, E58, F36, G15
Suggested Citation:
Abstract: This article analyzes the transmission of financial systemic stress from the euro area to the Czech Republic. We employ a recently developed composite indicator of systemic stress (CISS), which has a unique construction reflecting the correlations between markets and so captures the systemic stress of the financial system. The results from time-varying regression with stochastic volatility estimated using Bayesian inference indicate that the degree of transmission depends significantly on the level of stress, i.e., the intensity of the transmission mechanism itself is given by the magnitude of the shock. Second, the analysis reveals a more complex structure of financial stress linkages between markets on both the domestic and the international level. Finally, the results also support the current findings that the nature of stress is important for the transmission and that the sovereign debt crisis has so far had a limited impact on Czech financial markets.

Partners

ČSOB
Deloitte
McKinsey & Company

Sponsors

CRIF