World Financial Frictions and the Czech Economy
World Financial Frictions and the Czech Economy

Author(s): Adriana Lukáčiková, Martin Lukáčik, Karol Szomolányi
Subject(s): National Economy, Evaluation research, Financial Markets
Published by: Masarykova univerzita nakladatelství
Keywords: VAR model; world financial frictions; interest rate shocks; interest spread;
Summary/Abstract: According to Uribe and Schmitt-Grohé (2014) business cycles in emerging market economies are correlated with the interest rate that these countries face in international financial markets. From this statement follows a question: what fraction of business cycle fluctuations is due to movements in country interest rate? Uribe and Yue (2006) offer the vector auto-regression model specification to quantify the macroeconomic effects of world interest rate shocks and country’s interest spread shocks.

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