— 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 and International Banking Research Network (IBRN) research initiatives.

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 Fund Flows in Face of Domestic and Foreign Monetary Policy Shocks: Evidence from Supervisory Data
(with Martin Hodula)
Part of the Challenges for Monetary Policy Transmission in a Changing World (ChaMP) ESCB Research Network

This paper investigates how Czech mutual fund flows respond to both domestic and foreign monetary policy shocks. Using detailed supervisory data from 2009 to 2023 and a local projection model, we find that mutual fund flows are significantly influenced by interest rate differentials, with foreign monetary policy shocks having a more pronounced effect than domestic shocks. The impact occurs mainly through adjustments in inflows rather than outflows. Exchange rate movements, economic sentiment, and fund liquidity further modulate these effects. During periods of prolonged low interest rates in the Eurozone, higher interest rate differentials lead to net inflows into Czech mutual funds rather than outflows, indicating a pronounced search-for-yield behavior.

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

Using household-level survey data on 22 European countries collected in four waves between 2010 and 2022, we document the distributional effects of borrower-based macroprudential measures (BBM). We find that the tightening of the BBM significantly reduces the availability of mortgages for lower-income households, leading to increased reliance on renting. Regulation works not only through the extensive margin by cutting off risky borrowers from the mortgage market, but also through the intensive margin by reducing the average loan amount of households with lower incomes. This reduction in risk has the positive side effect of lower borrowing costs, benefiting mainly households with above-average incomes. The easing of BBM, observed in several countries, does not yet fully reverse these effects.

— 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).

— Climate Risks and Sovereign Risks Nexus
(Sofia Anyfantaki, Marianna Blix Grimaldi, Carlos Madeira, and Georgios Papadopoulos)
Part of the International Banking Research Network (IBRN) research initiatives.

The project aims to estimate the impact of climate-related risks — both physical and transition — on sovereign bond yields. It will explore how these risks affect government borrowing costs in the short and medium term, differentiating between chronic and acute physical risks.

— The Effect of Drought on Corporate Loans with AnaCredit Data
(with Jan Janků, Tomáš Karhánek, and Ivan Trubelík)

Using nearly 6 million loan-level observations for about 140 thousand firms between 2019 and 2023, we document a significant effect of long-term drought on corporate lending. We find that long-term drought significantly reduces both outstanding and new loans across all instrument types. Firms with more bank connections secure higher loan amounts but face lower probabilities of forming new bank relationships. Larger loans are less affected by drought, reflecting rigorous risk assessments, whereas larger firms do not enjoy the same protection, highlighting the complexity of banks' lending strategies under climate-related stress. The impact varies significantly across industries, with construction and mining showing resilience, while the energy and water supply sectors are more negatively affected. Additionally, further worsening of drought conditions leads to a lower probability of firms maintaining multiple credit instruments or bank relationships, indicating banks' strategies to consolidate risk while maintaining new lending capacities.

— Low-Carbon Transition, Green Public Subsidies, and Corporate Lending
(with 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.

— 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.