— Bank Lending Channel of Monetary Policy: Insights from AnaCredit
(with Zuzana Gric and Jan Janků)
Part of the Challenges for Monetary Policy Transmission in a Changing World (ChaMP) ESCB Research Network

Using AnaCredit database, we will examine the heterogeneity of transmission, considering various firms and banks characteristics. Emphasis will be placed on identifying the lag and asymmetry in transmission and understanding their implications for inflation dynamics. Furthermore, we will analyze the effects of both CNB (domestic) and ECB (foreign) monetary policies, especially in the context of euro-denominated financing for Czech firms.

— Mutual Funds in Face of Domestic and Foreign Monetary Policy: Insights from Supervisory Data
(with Martin Hodula)
Part of the Challenges for Monetary Policy Transmission in a Changing World (ChaMP) ESCB Research Network

We will analyze the reactions of domestic investment funds to both CNB (domestic) and ECB (foreign) monetary policy. Considering the previous period of highly relaxed monetary policy and the current cycle of its tightening, it will be possible to examine both types of shocks and their potential differential impact. We will use both fund-level and security-level data.

— Borrower-Based Macroprudential Policy During High Interest Rates: What Binds?
(with Martin Hodula and Lukáš Pfeifer)

Using loan-level data, we will determine whether, in a high-interest rate environment, monetary or macroprudential policies hinder mortgage loan applicants. The findings will offer valuable insights into how monetary and macroprudential policies interact in the Czechia. In a high-interest rate setting, it is likely that the effectiveness of measures targeting debtors will diminish, with the stringent monetary policy becoming a “barrier“ for loan applicants. Nevertheless, this relationship may vary among different applicant groups (for instance, more creditworthy vs. less creditworthy clients, buy-to-rent applicants vs. first-time applicants) and for the specific mortgage limits (LTV, DTI, DSTI).

— Credit Cycle and Business Cycle: A Meta-analysis
(with Jan Janků, Josef Bajzík, Klára Moravcová, and Ngoc Anh Ngo)

Since the mid-1980s, global credit and housing cycles have become more pronounced and longer, especially in financially open and developed economies. A deeper credit (financial) cycle is often followed by sharp contractions in the business cycle. Many studies have examined the relationship between credit and output to show how they interact and possibly reinforce each other. However, these studies do not only disagree on the magnitude of the effect that exists between the two, but also on the direction of the causality. In our analysis, we collect more than 2,600 estimates from 68 vector autoregression studies to explore what factors cause the heterogeneity we observe in the literature.

— Distributional Effects of Borrower-Based Macroprudential Measures: Micro-Level Perspective
(with Dominika Ehrenbergerová and Zuzana Gric)

This study examines the impact of macroprudential regulation on household wealth and income inequality. Borrower-based limits, such as loan-to-value, debt-to-income, and debt-service-to-income ratios, can directly affect portfolio allocation and wealth inequality. Capital-based measures can influence credit growth and wages, potentially impacting income inequality. The study uses data from the Household Finance Consumption Survey to analyze these effects in euro area and selected non-euro area countries.

— Low-Carbon Transition, Green Public Subsidies, and Corporate Lending
(with Jan Janků, Tomáš Karhánek, and Ivan Trubelík)

Using loan-level data from AnaCredit, we will explore if in industries or regions vulnerable to the low-carbon transition experience changes in lending conditions, such as loan volume, interest rates, or collateral requirements. Our aim is to understand the financial constraints these firms may face and assess the banking sector's response to such risks. We will also examine how banks adjust lending conditions in response to green public subsidies, assessing the effectiveness of public financial support for at-risk firms and regions during this transition.

— Geopolitical Tensions and Macro-financial Stability: Literature and Measurements
(with Martin Hodula, Jan Janků, and Ngoc Anh Ngo)

We will examine the impact of escalating geopolitical tensions on economic and financial stability, highlighting recent global challenges like the China–US trade war, the Covid-19 pandemic, and the Russia-Ukraine conflict. In this paper, we will review existing measures of geopolitical tensions and their relationship to uncertainty, identifying financial and real channels through which GPR affects macro-financial stability. We will emphasize the importance of understanding these channels for policymakers to mitigate risks and ensure economic and financial stability.

— Climate Transition Risks and Banking
Part of the International Banking Research Network (IBRN) new research initiative

The project aims to estimate the exposure of individual banks and the banking sector as a whole to transition risk. This exposure will be estimated using data from the AnaCredit database in conjunction with greenhouse gas emissions and input-output tables. This will enable an estimation of exposure linked to direct (Scope 1) and indirect (Scope 2 and 3) emissions. Subsequently, the impact of banks' exposure to transition risk on their overall riskiness, profitability, and lending activity will be analyzed.