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Ekonometrická analýza transmisního mechanismu ČR / Econometric analysis of transmission mechanism in CZ

This diploma thesis presents results of analysis of monetary policy transmission mechanism in the Czech Republic employing the vector autoregressive (VAR) models. The responsible authority for monetary policy is Czech National Bank that has been using the inflation targeting regime to conduct its monetary policy since 1998. The inflation rate changes, i.e. the changes in repo rate represent a monetary tool for steering actual inflation rate towards the projected or "target" inflation rate. The linear correlation between 2 weeks repo rate and 1 month PRIBOR rate is confirmed. The transmission mechanism is examined within the VAR framework and the relationships between the 1 month PRIBOR rate, gross domestic product and inflation rate are studied. The VAR model including 1 lag is considered as the best performing model. The relationships among variables are analysed by related approaches -- Granger causality, impulse response functions and cointegration. The ability of model to create forecasts is assessed and the ex ante forecasts are produced for one-year horizon. The effects of alternative monetary policies are the subject of scenario analysis.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:150270
Date January 2012
CreatorsPlechatá, Zuzana
ContributorsHušek, Roman, Formánek, Tomáš
PublisherVysoká škola ekonomická v Praze
Source SetsCzech ETDs
LanguageCzech
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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