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After the global financial crisis and the Great Recession, a large and growing body of literature has examined real business-financial cycle linkages. To this end, Claessens et al. (2012) examined a large database of business and financial stress periods, corroborating that financial crisis periods are often longer and deeper than economic recessions and tend to amplify and prolong the latter. Our research aims to contribute to an understanding of the financial stress-macroeconomy nexus by studying the spillovers of US (euro area) financial stress shocks and their macroeconomic effects (i.e. effects on industrial production, inflation and unemployment) into the euro area (USA). This paper asks whether these effects are contingent on the phase of the business cycle. Traditionally, domestic and international financial stress-business cycle linkages have been investigated within the linear modelling framework.

The recent financial crisis has shown that liquidity risk plays an important role in the contemporary financial system. This is especially true for economies that are traditionally based on banks and credit markets. A liquidity shock may propagate through a real channel or an information channel and then affect the entire financial system (Frait & Komárková, 2011). As a systemic banking crisis can have costly consequences such as declines in gross domestic product growth, real house prices and real equity prices and increases in unemployment rate, real public debt, among other effects (Reinhart and Rogoff, 2009), it is not surprising that most regulators, policymakers and academics devote significant attention to various aspects of liquidity risk measurement and management.

Blackův-Scholesův model se stal záhy po své publikaci v roce 1973 synonymem racionální vědecké metody ve financích. Figuruje v učebnicích, byla za něj udělena Nobelova cena a patří mezi nejcitovanější články v ekonomii vůbec. Od té doby vzniklo obrovské množství různých analytických vzorců, z nichž většina se odkazuje na tento jediný.

During the global financial crisis, the financial sector has gone through a dramatic re-appraisal of liquidity risk. As a result of a continued drop in the market value of mortgage-backed securities from the subprime segment of the US market and the announcement of problems of some European banks, the interbank market came under extreme strain. This confidence crisis had the following consequences: (i) Amidst increased market nervousness, interbank interest rates sharply rose. (ii) Many segments of the structured credit and mortgage market ceased to trade at all, making it difficult to price outstanding positions. (iii) Investors sometimes failed to raise enough cash through asset sales. (iv) Interbank lending became scarce in a context of liquidity hoarding.

Some decades ago, the Efficient market hypothesis (hereafter EMH) remarkably influenced financial theory and practice. The main contribution to the theory is often attributed to Fama’s survey study where the efficient capital markets were promoted. In efficient markets, asset prices reflect the best estimation of market participant regarding the expected risk and return of the assets while the information currently known about the asset is taken into account. Hence, all assets in the market will be appropriately priced offering adequate level of expected return to risk.

Úverové riziko je najvýznamnejším a najväčším rizikom pre komerčnú banku, i napriek skutočnosti, že je dlhodobo známe a banky majú s jeho riadením najväčšie skúsenosti. Definujeme ho ako riziko, že zmluvná strana včas a v plnej výške nevráti požičané peniaze. Výška úverového rizika je determinovaná schopnosťou a ochotou zmluvnej strany dodržať svoje peňažné záväzky voči banke (V príspevku budeme používať aj rovnocenný pojem, ktorým je kreditné riziko.).