- Monetary policy
- Investigation of the process and consequences of euro adoption. How will macroeconomic policies be affected by ERM II entry and what is the expected impact of euro adoption on macroeconomic performance? The financial crisis and euro adoption.
- Empirical investigation of the role of monetary and credit aggregates in monetary policy and in the determination of asset prices. How has the financial crisis changed this role and what are the implications of quantitative easing for price stability.
- Monetary policy strategy. The impact of the financial crisis on its design. Would alternative specifications of the inflation target (e.g. index composition) or policy rules (e.g. asset prices) have more stabilising effects?
- Studies of monetary policy transmission. For example, the implications of subsidised savings in building societies, direct retail distribution of government bonds and different types of hedging behaviour for transmission, and the implications of the financial crisis for the yield curve. Inflation-indexed contracts, their potential for market completion and their disciplining and information role.
- Issues of central bank foreign reserve and asset management in the wake of the global financial crisis.
- Macroeconomic modelling and forecasting
- Development of a satellite macroeconomic model focusing on the financial sector to improve the CNB forecasting process. The relationships between the financial sector, macroeconomic developments and monetary policy should be captured.
- Development of a satellite model addressing the fiscal sector. This structural model is expected to investigate the transmission of fiscal policy to the economy in order to improve the forecasting process.
- Development of empirical tools and methods to extend the CNB’s current near-term forecasting methodology and/or communication of uncertainty. Factor models or Bayesian estimation. Usefulness of real-time data (vintage models) for forecasting the Czech economy.
- Studies supporting the further development of the CNB’s “g3” core forecasting model. Modelling of regulated and oil prices, credit rationing and investment accumulation in DSGE models.
- Development of a two-country, euro-area-wide model to incorporate the endogenous development of foreign variables in the forecasting process. The model should address euro-area-wide issues relevant to the Czech economy on the way to euro adoption.
- Financial stability
- Analysis of the macroeconomic causes, transmission channels and implications of the financial crisis for the European financial system, with a special focus on CEECs. Analysis of the pro-cyclicality of financial intermediation. Updating of cross-border contagion analysis for large complex financial groups under conditions of financial turbulence.
- Development of models and tools to integrate feedback effects between the real and financial sectors. Dynamic stress-testing models, models of the financial cycle, approaches detecting risks connected with macroeconomic developments and internal and external imbalances.
- Analysis of the non-banking sectors of the Czech financial system assessing sector-specific risks and developments. Efficiency of the capital market under financial turbulence, contagion across different financial sector segments, efficiency and competitiveness in non-banking financial institutions, financial disintermediation.
- Assessment of new challenges for risk management models in banks. Further development of methodologies for measuring other types of financial risk than credit risk, such as liquidity risk or operational risk, and their application to the Czech data. Methods of internalisation of macro and systemic risks into risk models of individual institutions. Stress testing for the different types of risks in individual financial institutions.
- Analysis of the efficiency of different supervisory and regulatory structures in the financial crisis. Pros and cons of integration of financial regulators on both the national and international level (home-host issues, burden sharing). Survey and evaluation of the reactions of supervisory bodies to the crisis. Estimation of the impacts of pro-cyclicality in the regulatory framework and in ratings.
- Real sector and fiscal policy
- Research of the main economic rigidities and persistencies in the EU, particularly on the labour market. Do labour markets operate differently in times of financial crisis?
- Estimates of the fiscal impulse in the Czech economy and robustness analysis of the estimates with the aim of developing a tool for assessing the impact of fiscal measures on the economy.
- The current financial crisis, fiscal packages and implications for fiscal sustainability and financial stability in Europe. The role of fiscal policy in the run-up to the crisis. Implications of market reactions to the crisis and to fiscal packages for fiscal sustainability.
- Analysis of economic growth and supply-side performance, particularly the life-cycle of foreign direct investment, with the aim of improving balance-of-payments forecasting.
- Studies addressing possible biases in the measurement of inflation, inflation expectations and GDP which take into account quality changes, differences between official and perceived inflation, and asset price swings. Real-time data models for GDP.
