Acta academica karviniensia 2017, 17(3):83-91 | DOI: 10.25142/aak.2017.024

MACROECONOMIC MODELLING OF THE CZECH ECONOMY USING COINTEGRATION VECTOR AUTOREGRESSION

Radmila Stoklasová
Slezská univerzita, Obchodně podnikatelská fakulta, Univerzitní nám. 1934/3,733 40 Karviná, Email:stoklasova@opf.slu.cz

This article aims to investigate the long-run structural cointegrated VAR model that relates to the core macroeconomic variables of the Czech economy to current and lagged values of a number of key foreign variables (6 domestic and 3 international) and 1 exogenous variable. This article aims to find cointegration equations for modeling the long-term equilibrium of economic relations in the Czech Republic in the analyzed period. Five long-run relationships are identified. The model includes purchasing power parity in relative version, money demand, a gap between domestic and foreign product, interest rate parity, Fisher inflation parity. A cointegration analysis showed that long-run structural equilibrium relationships correspond with empirical cointegration relationships, so the model used is suitable for a small open economy. Achieved empirical results are influenced by the fact that the Czech economy has undergone a currency crisis. The calculations used eViews software version 9. The structural model is estimated for the Czech economy. The data used have the character of a quarterly time series in the period from Q1/2005 to Q4/2016. The data source was the Eurostat database, FRED, Czech National Bank and the Czech Statistical Office.

Keywords: ADF test of stationarity, cointegration relations, Czech economy, long-run structural vector autoregression, macroeconometric modelling, VECM model
JEL classification: C10, E27

Received: June 23, 2017; Accepted: September 20, 2017; Published: September 30, 2017  Show citation

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Stoklasová R. MACROECONOMIC MODELLING OF THE CZECH ECONOMY USING COINTEGRATION VECTOR AUTOREGRESSION. Acta academica karviniensia. 2017;17(3):83-91. doi: 10.25142/aak.2017.024.
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