Endogeneity of money: The case of the Сzech Republic

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F18%3A39913355" target="_blank" >RIV/00216275:25410/18:39913355 - isvavai.cz</a>

Result on the web

<a href="https://www.jois.eu/files/11_654_Cernohorska,%20L..pdf" target="_blank" >https://www.jois.eu/files/11_654_Cernohorska,%20L..pdf</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.14254/2071-8330.2018/11-4/11" target="_blank" >10.14254/2071-8330.2018/11-4/11</a>

Result language

angličtina

Original language name

Endogeneity of money: The case of the Сzech Republic

Original language description

The goal of this paper is to specify the trends of money supply in the Czech Republic. This will allow us evaluate the current approach taken by the Czech National Bank in its monetary policy. To determine money’s endogeneity, we have analyzed time series for the M3 monetary aggregate, the monetary base, GDP, and loans. As part of the analysis, we have worked with quarterly data from the 1st quarter of 1996 to the 2nd quarter of 2017. We determined the optimal lag time for the time series using the Hannan-Quinn information criterion. Next, we have analyzed the stationarity of the time series using the Dickey-Fuller test. We have further tested the stationary time series with the Engle-Granger test. Testing long-term relationships using the Engle-Granger cointegration test between the money supply (expressed by the M3 monetary aggregate) and both GDP and loans, and then between the money base and loans did not confirm long-term relationships between the values examined. Therefore, we can consider the money supply in the Czech Republic to be endogenous. Two-way causal relationships between M3 and both GDP and loans as well as between the monetary base and loans was confirmed using the results of Granger causality testing as a basis.

Czech name

—

Czech description

—

Type

J_SC - Article in a specialist periodical, which is included in the SCOPUS database

CEP classification

—

OECD FORD branch

50202 - Applied Economics, Econometrics

Project

—

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2018

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Journal of International Studies

ISSN

2071-8330

e-ISSN

—

Volume of the periodical

11

Issue of the periodical within the volume

4

Country of publishing house

PL - POLAND

Number of pages

14

Pages from-to

155-168

UT code for WoS article

—

EID of the result in the Scopus database

2-s2.0-85060059497