Borek Vasicek

Czech National Bank (CNB)

Na Prikope 28

CZ-11503 Praha 1

Czech Republic

European Union - Directorate General for Economic and Financial Affairs (DG ECFIN)

BU-1 05/190

Brussels, Bruxelles B-1049

Belgium

SCHOLARLY PAPERS

11

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Scholarly Papers (11)

1.

Banking, Debt and Currency Crises: Early Warning Indicators for Developed Countries

ECB Working Paper No. 1485
Number of pages: 45 Posted: 22 Oct 2012
Czech National Bank (CNB), Czech National Bank (CNB), Charles University in Prague - CERGE-EI, Charles University in Prague - CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute), Czech National Bank (Deceased) and Czech National Bank (CNB)
Downloads 452 (62,897)
Citation 2

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Early warning indicators, Bayesian model averaging, macro-prudential policies

2.

Comparing Different Early Warning Systems: Results from a Horse Race Competition Among Members of the Macro-Prudential Research Network

Number of pages: 27 Posted: 18 Feb 2015
European Central Bank (ECB), Bank of Portugal - Department of Economics, Czech National Bank (CNB), De Nederlandsche Bank, European Central Bank (ECB), Banco de Portugal, London School of Economics & Political Science (LSE), European Central Bank (ECB), Bank for International Settlements (BIS) - Financial Stability Board (FSB), Bank of England, Czech National Bank (CNB), University of Glasgow - Department of Economics, Bank of Finland, Charles University in Prague - CERGE-EI, Bank of Portugal, Oesterreichische Nationalbank (OeNB), European Central Bank (ECB), Czech National Bank (CNB), Banco de Portugal, European Central Bank (ECB), Oesterreichische Nationalbank (OeNB), WHU - Otto Beisheim School of Management, Czech National Bank (Deceased), De Nederlandsche Bank, Czech National Bank (CNB) and Czech National Bank (CNB)
Downloads 274 (111,222)
Citation 15

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Early warning systems, financial crisis, Bayesian model averaging

3.

Leading Indicators of Crisis Incidence: Evidence from Developed Countries

ECB Working Paper No. 1486
Number of pages: 30 Posted: 22 Oct 2012
Czech National Bank (CNB), Czech National Bank (CNB), Charles University in Prague - CERGE-EI, Charles University in Prague - CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute), Czech National Bank (Deceased) and Czech National Bank (CNB)
Downloads 115 (240,623)
Citation 2

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Early warning indicators, Bayesian model averaging, macro-prudential policies

4.

Financial Stress Indices and Financial Crises

De Nederlandsche Bank Working Paper No. 469
Number of pages: 35 Posted: 11 Apr 2015
De Nederlandsche Bank, De Nederlandsche Bank - Research Department, Czech National Bank (CNB), Czech National Bank (CNB), Czech National Bank (CNB) (Deceased) and University of Groningen - Faculty of Economics and Business
Downloads 94 (276,261)

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financial stress index, financial crises, developed countries, early warning indicators

5.

Leading Indicators of Financial Stress: New Evidence

De Nederlandsche Bank Working Paper No. 476
Number of pages: 34 Posted: 11 Jun 2015
Czech National Bank (CNB), Czech National Bank (CNB), De Nederlandsche Bank - Research Department, De Nederlandsche Bank, Czech National Bank (Deceased) and University of Groningen - Faculty of Economics and Business
Downloads 83 (298,694)

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financial stress index, Bayesian model averaging, early warning indicators

Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe

ECB Working Paper No. 1666
Number of pages: 45 Posted: 03 Jul 2014
Peter Claeys and Borek Vasicek
Vrije Universiteit Brussel (VUB) - Faculty of Economic, Social and Political Sciences and Czech National Bank (CNB)
Downloads 50 (395,306)
Citation 1

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spillover, contagion, fiscal policy, eurozone, financial crisis, FAVAR

Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe

Journal of Banking and Finance, Vol. 46, No. 1, 2014
Number of pages: 45 Posted: 07 Feb 2015
Peter Claeys and Borek Vasicek
Vrije Universiteit Brussel (VUB) - Faculty of Economic, Social and Political Sciences and Czech National Bank (CNB)
Downloads 32 (469,991)
Citation 1

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Spillover; Contagion; Fiscal policy; Eurozone; Financial crisis; FAVAR

7.

Monetary Policy Rules and Inflation Process in Open Emerging Economies: Evidence for 12 New EU Members

William Davidson Institute Working Paper No. 968
Number of pages: 38 Posted: 17 Oct 2009
Borek Vasicek
Czech National Bank (CNB)
Downloads 82 (300,989)
Citation 4

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open emerging economies, CEE countries, monetary policy rules, open economy Phillips curve, conditional inflation variance

8.

Inflation Dynamics and the New Keynesian Phillips Curve in EU-4

William Davidson Institute Working Paper No. 971
Number of pages: 36 Posted: 24 Oct 2009
Borek Vasicek
Czech National Bank (CNB)
Downloads 76 (314,766)
Citation 3

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Inflation dynamics, New Keynesian Phillips curve, CEEC

9.

Short-Term Determinants of the Idiosyncratic Sovereign Risk Premium: A Regime-Dependent Analysis for European Credit Default Swaps

ECB Working Paper No. 1717
Number of pages: 58 Posted: 16 Aug 2014
Loughborough University, University of Bath - Department of Economics, RSJ Algorithmic Trading and Czech National Bank (CNB)
Downloads 44 (409,732)
Citation 1

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credit default swaps, Markov switching model, sovereign risk, State space model, term premium

10.

Banking and Currency Crises: Differential Diagnostics for Developed Countries

ECB Working Paper No. 1810
Number of pages: 44 Posted: 23 Jun 2015
Bank of England, Czech National Bank (CNB), Czech National Bank (Deceased) and Czech National Bank (CNB)
Downloads 38 (432,977)

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Banking crises; binary classification tree; currency crises; early warning indicators

11.

Is Monetary Policy in New Members States Asymmetric?

William Davidson Institute Working Paper No. 1005
Number of pages: 35 Posted: 19 Dec 2010
Borek Vasicek
Czech National Bank (CNB)
Downloads 19 (528,475)
Citation 2

Abstract:

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monetary policy, inflation targeting, nonlinear Taylor rules, threshold estimation