The Connection between the Exchange Rate and the Balance of Payments Accounts in the Czech Republic: An Econometric Approach

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F17%3A00095901" target="_blank" >RIV/00216224:14560/17:00095901 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.5817/FAI2017-1-4" target="_blank" >http://dx.doi.org/10.5817/FAI2017-1-4</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.5817/FAI2017-1-4" target="_blank" >10.5817/FAI2017-1-4</a>

Jazyk výsledku

angličtina

Název v původním jazyce

The Connection between the Exchange Rate and the Balance of Payments Accounts in the Czech Republic: An Econometric Approach

Popis výsledku v původním jazyce

Relationships between the nominal exchange rate, the current account and the financial account of the balance of payments in the Czech Republic are investigated in this presented paper. The implemented cointegration analysis and vector error correction model suggest one pair of Granger causality. It has been discovered that change in the current account balance Granger-causes a change in financial account balance. This relationship has the nature of two-way Granger causality, which means that a reversed relationship holds as well. Other relationships implying Granger causality were not found. Error terms were significant only in regressions with both accounts as dependent variables, which imply that only these variables return to their long-term equilibria. Because an increase in financial account surplus leads to a decrease in current account surplus (or deepening the current account deficit), excessive liberalization of the Czech financial system can lead to a large capital inflow, jeopardizes current account sustainability and results in a currency crisis in the Czech economy.

Název v anglickém jazyce

The Connection between the Exchange Rate and the Balance of Payments Accounts in the Czech Republic: An Econometric Approach

Popis výsledku anglicky

Relationships between the nominal exchange rate, the current account and the financial account of the balance of payments in the Czech Republic are investigated in this presented paper. The implemented cointegration analysis and vector error correction model suggest one pair of Granger causality. It has been discovered that change in the current account balance Granger-causes a change in financial account balance. This relationship has the nature of two-way Granger causality, which means that a reversed relationship holds as well. Other relationships implying Granger causality were not found. Error terms were significant only in regressions with both accounts as dependent variables, which imply that only these variables return to their long-term equilibria. Because an increase in financial account surplus leads to a decrease in current account surplus (or deepening the current account deficit), excessive liberalization of the Czech financial system can lead to a large capital inflow, jeopardizes current account sustainability and results in a currency crisis in the Czech economy.

Druh

J_ost - Ostatní články v recenzovaných periodicích

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název periodika

Financial Assets and Investing

ISSN

1804-5081

e-ISSN

—

Svazek periodika

8

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

14

Strana od-do

58-71

Kód UT WoS článku

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EID výsledku v databázi Scopus

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