Equilibrium exchange rate in the Czech Republic

Kód výsledku v IS VaVaI

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Equilibrium exchange rate in the Czech Republic

Popis výsledku v původním jazyce

Lots of possible explanations of the development of the exchange rate can be found in the available literature. The aim of this paper is to find which factors in-fluence the development of the Czech currency (measured as real effective exchange rate) using the Equilibrium Exchange Rate Approach (EER) and to assess periods with over valuated and under valuated exchange rate. This approach defines varia-bles that cause changes in the level of the exchange rate and assess its effect on equi-librium exchange rate. In the case of empirical analysis, there exist a lot of econo-metric methods that can be used. This article is based on the (Johansen) cointegra-tion analysis. Since principal of EER is to find lung run equilibrium, Vector Error Correction Model (VECM) is constructed. Economic theory defines some variables that influence equilibrium exchange rate. The most important of them are the labour productivity, interest rates and government or foreign debt. These variables are also used in this article. We use quarterly data from 2000 to 2014.

Název v anglickém jazyce

Equilibrium exchange rate in the Czech Republic

Popis výsledku anglicky

Lots of possible explanations of the development of the exchange rate can be found in the available literature. The aim of this paper is to find which factors in-fluence the development of the Czech currency (measured as real effective exchange rate) using the Equilibrium Exchange Rate Approach (EER) and to assess periods with over valuated and under valuated exchange rate. This approach defines varia-bles that cause changes in the level of the exchange rate and assess its effect on equi-librium exchange rate. In the case of empirical analysis, there exist a lot of econo-metric methods that can be used. This article is based on the (Johansen) cointegra-tion analysis. Since principal of EER is to find lung run equilibrium, Vector Error Correction Model (VECM) is constructed. Economic theory defines some variables that influence equilibrium exchange rate. The most important of them are the labour productivity, interest rates and government or foreign debt. These variables are also used in this article. We use quarterly data from 2000 to 2014.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název statě ve sborníku

Mathematical Methods in Economics, MME 2015 : 33rd international conference : conference proceedings : Cheb, Czech Republic, September 9-11, 2015

ISBN

978-80-261-0539-8

ISSN

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e-ISSN

neuvedeno

Počet stran výsledku

6

Strana od-do

7-12

Název nakladatele

University of West Bohemia

Místo vydání

Plzeň

Místo konání akce

Cheb

Datum konání akce

9. 9. 2015

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000387898900002