Journal of Economics - Obsahy ročníkov

This paper examines the regulation of Interest Rate Risk Management of the Banking Book in the Czech and Slovak banking sectors. We provide modeling of bank balance sheets in terms of regulatory requirements. The contribution of our paper is two-fold. First, we identify the key business drivers of Interest Rate Risk of the Banking Book of the Czech and Slovak banking sectors. Second, when comparing the interest rate risk of the banking book of both banking sectors, we find that major banks in both sectors report a higher interest rate risk from their client liabilities than from client assets. This fact implies that the banks are exposed to the risks inherent in rising interest rates. We find that the interest rate risk exposure of the Czech and Slovak banks is relatively high, and therefore, the potential contagion risk for large foreign owners with subsidiaries in both countries is not negligible. Keywords: bank, economic value, embedded option, interest rate risk, market value, regulation; JEL Classification: G21, G10

The paper deals with the construction of a co-movement indicator suitable for assessing the synchrony between countries. The indicator is represented as a time series and its construction is based on a reconstruction of a co-spectrum measure from the time-frequency to the time domain. We use the statistically significant part of the power wavelet co-spectrum for pairs of countries. An advantage of the newly proposed co-movement indicator is a possibility to construct sub-indicators which correspond to the predefined frequency range, e.g. business cycle frequencies. In such a way we can obtain a decomposition of the co-movement indicator (covering all frequencies) into, for example, short-run cycles, medium and long business cycles and long-run cycles. The proposed methodology is demonstrated on the US and EA monthly data of industrial production index in 1991 – 2018. A further application is performed on the EA and Visegrad Group Countries with the same data type and time range. Keywords: co-movement indicator, co-spectrum, globalisation, wavelets; JEL Classification: E51, F02, P24

While the empirical economic research has long focused on capturing the rigidities of the labor markets on the level of the whole economy, the structural policy might benefit much more from a regional perspective. This paper follows exactly this path, focusing on the regional differences in labor market rigidities. The concept of the labor market rigidity is captured by the sensitivity of probability of finding a job on the labor market tightness, a key relationship behind the search model of the labor market referred to as matching function. The relationship is estimated as time-varying using the Kalman filter procedure. Indeed the results go to prove that the situation among the regional labor markets in the Czech economy varies with respect to space as well as time. Keywords: Kalman filter, matching function, regional analysis, rigidity of the labor market, search model; JEL Classification: E32, J63, J64

This study employs Bayesian Vector Autoregression (BVAR) and Time-Varying Structural VAR (TVP-VAR) models for the Euro area, and the US to analyze the impacts of the shadow short rates (SSRs) on the Treasury-EuroDollar rate (TED spread) and stock returns. Forecast error variance decompositions (FEVDs) of the BVAR indicated that the volatility in stock markets and the bubbles in financial assets can be mitigated by the SSR in the Euro area. However, the results of FEVDs showed that the credit risk cannot be explained substantially by monetary policy. According to our results, the contractionary monetary policy will decrease the stock returns; thus, it can be revealed that asset price bubbles and financial crisis risk can be controlled. It was also indicated that the contractionary monetary policy led to an increase in the TED spread, which in turn raised the probability of credit risk after the 2008 – 2009 global financial crisis (GFC). Keywords: shadow short rate, TED spread, stock returns, BVAR, TVP-VAR; JEL Classification: E43, E44, E47

The paper deals with the attractiveness of the euro area for emerging EU members (Central Emerging European Economies vs Baltic States) from the angle of previously applied exchange rate regimes (floaters vs fixers). Monetary convergence is accompanied with real exchange rate appreciation, but the adjustment channels differ in dependence from adopted exchange rate framework. Impulse response functions from bivariate VAR models in the period 2000 – 2018/euro adoption are used to identify the impact of monetary and real shocks to real exchange rate variations, as well as real exchange rate transmission to economic activities. The results indicate: the prevalence of real shocks in initiating real exchange rate appreciation; higher real exchange rate sensitivity for the floaters with higher loss in terms of stabilization mechanism; less contractionary real exchange rate appreciation for the floaters with less output constraints due to the role of exchange rate as a shock absorber. Keywords: convergence, euro area, real exchange rate, monetary shocks, real shocks; JEL Classification: E52, F15, F45