0466511 20240103213054.520161206235959.9 85020399292 000403383400001 10.18267/j.pep.608 12 s. P cav_un_epca*02904241210-045520173 (2017)257-268Vysoká škola ekonomická v Praze financial stress indicator vector autoregression Czech Republic cav_un_auth*0274257 Ekonometrie Department of Econometrics E E Department of Econometrics 70 Horváth Roman UTIA-B K Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0345304 30 Malega J. CZ http://library.utia.cas.cz/separaty/2017/E/horvath-0466511.pdf cav_un_auth*0321097 GA15-10331S GA ČR We estimate a financial stress index for the Czech Republic and examine its development during the 2002–2014 period. We find a marked increase in financial stress at the beginning of the global financial crisis with a  decrease to nearly pre-crisis levels by the  end of  our study period. Next, we estimate vector autoregression models of the Czech economy and find that financial stress has systematic effects on output, prices and interest rates, with the maximum response occurring approximately one and a  half years after the  shock. Specifically, an  increase in  financial stress is associated with higher unemployment, lower prices and lower interest rates, indicating its detrimental effects on the real economy. AH 50000 50200 50206 2018 2 RVO:67985556 http://hdl.handle.net/11104/0270592 S 2 Article Economics 2 Article Economics 2 Article Economics ECONOMICS 0.557 0.14 5.1 0.00021 0.086 171 0.277 0.364 43 Q4 3.845 11.8 Q4 Q3 0.45 Q3 11.756 2017 85020399292 SCOPUS PUBMED 000403383400001 WOS cav_un_epca*0290424 Prague Economic Papers 1210-0455 2336-730X Roč. 2017 č. 3 2017 257 268 Vysoká škola ekonomická v Praze