CNB Research News

A Prolonged Period of Low Interest Rates: Unintended Consequences

This paper examines the potential adverse effects of a prolonged period of low interest rates on financial stability from multiple perspectives and offers a few monetary policy considerations, including a short discussion of the role of macroprudential policy.

The Intertemporal Cost of Living and Dynamic Inflation: The Case of the Czech Republic

When consumers optimise intertemporally, a true cost of living index will depend on changes in both current and future prices as well as rates of return on financial assets. This paper constructs a measure of such "dynamic inflation" for the Czech Republic from a solution to the household's intertemporal consumption-saving problem. The resulting series constructed from Czech data roughly follows CPI inflation, but is more volatile and less persistent.

On the Determinants of Life and Non-Life Insurance Premiums

This paper tests potential determinants of the development of the insurance sector using a rich dataset for 24 European countries spanning two decades. The authors show that both life and non-life premiums co-move with the business cycle and are positively related to higher savings and a more developed financial system.

The g3+ Model: An Upgrade of the Czech National Bank's Core Forecasting Framework

This paper introduces g3+, the new core model of the Czech National Bank's Forecasting and Policy Analysis System. The g3+ model features a structural foreign economy block, oil as a production factor, and heterogeneous households. We also present a novel simulation approach allowing us to limit the information in the conditional paths solution while preserving the period-by-period consistency of the information horizon along the forecast paths.

A Model of the Euro Area, China and the United States: Trade Links and Trade Wars

This paper develops a dynamic stochastic general equilibrium model featuring the euro area, the United States and China, with an exogenous rest of the world. The countries in the model are linked through trade and international bond purchases. The model is used to examine several scenarios of trade wars between the countries.

Does Capital-Based Regulation Affect Bank Pricing Policy?

This paper examines whether the increase of the capital requirements in the domestic banking sector in recent years has transmitted to a change to banks' pricing policy.

Sovereign Capital, External Balance, and the Investment-Based Balassa-Samuelson Effect in a Global Dynamic Equilibrium

This paper develops a two-country dynamic optimisation model with investment and labour mobility, allowing for partially non-tradable investment goods. The proposed model is applied to examine the relationship between the external balance and the real exchange rate.

Growth-at-Risk: Bayesian Approach

This paper proposes a novel application of Bayesian quantile regression to forecast a full distribution of macroeconomic variables that can be linked to, for example, an official projection of the variable published by a central bank, or a forecast from a survey of professional forecasters.

Consumer and Industrial prices in 2020 – The Year of the Coronavirus

The current coronavirus crisis has influenced everyone’s lives. People are spending more time at home and changing their consumer habits. This article examines the consumer price and industrial price indices used most often to monitor prices and describes the differences observed in individual areas during the coronavirus crisis so far.

The Fight Between the Covid-19 Pandemic and Air Transport Has a Clear Winner So Far: Are We Facing a Historical Change?

Air transport, which is a major global industry, is experiencing its worst crisis in its century-old history. This article examines whether the changes caused by the pandemic will be permanent and how much damage will be done to the aviation sector, which has played a pivotal role in global developments in recent years.

International Goods Trade at the Onset of the Coronavirus Pandemic from the Perspective of Economic Regions

This article analyses international goods trade in the first of 2020 and maps the relevant flows from the territorial, commodity and time perspective. Particular attention is paid to goods exports in the months in which the deepest declines were recorded. Foreign trade in motor vehicles is then analysed separately. 

Usability of Capital Buffers under a Binding Leverage Ratio Requirement

A binding leverage ratio requirement may in certain extreme situations limit the capital buffers' usability to absorb losses. This article estimates that this usability would be hypothetically limited by almost 1.7 pp of the capital ratio in the Czech banking sector at the end of the first half of 2020.

Interconnectedness and Contagion in the Czech Financial System

This article maps the interconnectedness in the Czech financial system, focusing on both direct and indirect linkages, and describes the most important channels of contagion of a negative shock in the system. 

Central Bank Digital Currencies

Central Bank Digital Currency (CBDC) has become a major preoccupation of many central banks in recent years. Most CBDCs are at the theoretical research or pilot testing stage, but one has recently been launched for the first time ever. This article discusses the main features of CBDC, its potential implications, and the approaches of selected central banks.

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