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Analýza všeobecné rovnováhy pro český finanční trh a model finanční křehkosti

General Equilibrium Analysis of the Czech Financial Market and a Financial Fragility Model

Ondrej Machek, Luboš Smrčka, Jiří Hnilica, Markéta Arltová and Dimitrios Tsomocos

Politická ekonomie, 2014, vol. 2014, issue 4, 437-458

Abstract: The purpose of this paper is to create a financial fragility model for the Czech financial sector. We adapt the Goodhart-Tsomocos model which is based on general equilibrium with incomplete markets, money and default. The calibration of the model is based on publicly available data from the period 2003-2011. Finally, we perform comparative statics to show how the key variables of the model respond to possible events. The model can be used by government institutions to stress-test the banking sector, as well as by banking and other financial institutions to estimate the development of, inter alia, the default rates of their clients. The model also incorporates default of households and may be used, after further extension, in predicting households' default rates with respect to the behaviour of banks in consequence of changes in macroeconomic parameters of the environment.

Keywords: monetary policy; Czech Republic; banking; financial fragility; regulatory policy; general equilibrium (search for similar items in EconPapers)
JEL-codes: C68 E4 E5 G11 G21 G28 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.18267/j.polek.963

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