IDEAS home Printed from https://ideas.repec.org/h/cnb/ocpubc/fsr1112-3.html
   My bibliography  Save this book chapter

Impacts Of The Sovereign Default Crisis On The Czech Financial Sector

In: CNB Financial Stability Report 2011/2012

Author

Listed:
  • Kamil Janacek
  • Zlatuse Komarkova
  • Michal Hlavacek
  • Lubos Komarek

Abstract

This article discusses the experience of countries hit by debt crises as well as the channels of contagion of sovereign default risk to the financial system. It focuses primarily on identifying channels of contagion that might represent a relevant threat to the Czech economy and discusses their significance. Although sovereign default risk is currently relatively low for the Czech Republic thanks to its low level of government debt, an escalation of this risk would have significant impacts on the financial system given the comparatively high proportion of government bonds in banks' balance sheets. The article also illustrates the significance of cross-country contagion to sovereign credit premiums. Here, the transmission from the countries hit hardest by the debt crisis has weakened, but the Czech Republic's credit premium is diverging from the most stable countries at a time of market stress. The risk of heightened sensitivity of credit premiums to a country's debt may increase the costs of irresponsible fiscal policy in the future. It is therefore another factor that should be covered by financial stability analysis.

Suggested Citation

  • Kamil Janacek & Zlatuse Komarkova & Michal Hlavacek & Lubos Komarek, 2012. "Impacts Of The Sovereign Default Crisis On The Czech Financial Sector," Occasional Publications - Chapters in Edited Volumes,in: CNB Financial Stability Report 2011/2012, chapter 0, pages 118-128 Czech National Bank, Research Department.
  • Handle: RePEc:cnb:ocpubc:fsr1112/3
    as

    Download full text from publisher

    File URL: http://www.cnb.cz/en/financial_stability/fs_reports/fsr_2011-2012/fsr_2011-2012_article_iii.pdf
    Download Restriction: no

    File URL: http://www.cnb.cz/en/financial_stability/fs_research/#thema
    Download Restriction: no

    References listed on IDEAS

    as
    1. Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "Varieties of Crises and Their Dates," Introductory Chapters,in: This Time Is Different: Eight Centuries of Financial Folly Princeton University Press.
    2. Diebold, Francis X. & Yilmaz, Kamil, 2012. "Better to give than to receive: Predictive directional measurement of volatility spillovers," International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
    3. Carmen M. Reinhart & Kenneth S. Rogoff, 2014. "This Time is Different: A Panoramic View of Eight Centuries of Financial Crises," Annals of Economics and Finance, Society for AEF, vol. 15(2), pages 1065-1188, November.
    4. Fontana, Alessandro & Scheicher, Martin, 2016. "An analysis of euro area sovereign CDS and their relation with government bonds," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 126-140.
    5. Michael Gapen & Dale Gray & Cheng Hoon Lim & Yingbin Xiao, 2008. "Measuring and Analyzing Sovereign Risk with Contingent Claims," IMF Staff Papers, Palgrave Macmillan, vol. 55(1), pages 109-148, April.
    6. Christian Keller & Peter J Kunzel & Marcos R Souto, 2007. "Measuring Sovereign Risk in Turkey; An Application of the Contingent Claims Approach," IMF Working Papers 07/233, International Monetary Fund.
    7. Jan Frait & Luboš Komárek & Zlatuše Komárková, 2011. "Monetary Policy in a Small Economy after Tsunami: A New Consensus on the Horizon?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(1), pages 5-33, January.
    8. Ebner, André, 2009. "An empirical analysis on the determinants of CEE government bond spreads," Emerging Markets Review, Elsevier, vol. 10(2), pages 97-121, June.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cnb:ocpubc:fsr1112/3. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jan Babecky). General contact details of provider: http://edirc.repec.org/data/cnbgvcz.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.