Linkage among exchange rate, price level and balance of payments: The case of the Czech Republic

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F16%3A00090527" target="_blank" >RIV/00216224:14560/16:00090527 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Linkage among exchange rate, price level and balance of payments: The case of the Czech Republic
Original language description
Relationships between selected macroeconomic variables - nominal exchange rate, international reserves, real exchange rate, price level, credit and debit transactions of balance of payments - in the Czech Republic have been investigated in presented paper. Implemented cointegration analysis and vector error correction model suggest several pairs of Granger causalities. It has been discovered that change in price level Granger-causes international reserves change and change in debit transactions Granger-causes price level change. These relationships have nature of two-way Granger causalities, which means that reversed relationships hold as well. One-way Granger causality was found also in two cases: change in nominal exchange rate Granger-causes real exchange rate change and change in credit transactions Granger-causes price level change. Other relationships implying Granger causality were inconclusive.
Czech name
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Czech description
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Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
The 8th international conference: Economic Challenges in Enlarged Europe
ISBN
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ISSN
2382-6797
e-ISSN
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Number of pages
15
Pages from-to
185-199
Publisher name
Tallinn School of Economics and Business Administration of the Tallinn University of Technology
Place of publication
Tallinn
Event location
Tallinn
Event date
Jan 1, 2016
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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