The recent and current turbulences in both real and financial sectors of the economies prove that the interactions between real and financial variables are crucial for understanding the behavior of assets' returns and economy as a whole, especially at a business cycle frequency. This study presents an analysis of some of the issues in the case of the Czech economy. It covers the estimation of time-varying risk premiums in the capital and foreign exchange market, risk spillovers among selected segments of the financial market, and the effects of increased financial risk on the real economy. It is accompanied by a broad list of references and in some parts advanced econometric techniques are used. The study is targeted at both practitioners and researchers as a source of economic information on the Czech economy and summary of current economic theory and methods relevant to this particular field of research.