Modely rovnovážného měnového kursu (příklad české koruny)

This diploma thesis is devoted to the equilibrium exchange rate models. At first, it focuses on the description and the classification of the equilibrium exchange rate models and their possible application. The estimation of the equilibrium exchange rate is conducted on the basis of the capital enhanced equilibrium exchange rate model (CHEER), the behavioural equilibrium exchange rate model (BEER) and the permanent equilibrium exchange rate model (PEER) by applying four cointegration methods (DOLS, ARDL, Engle-Granger method, and Johansen method) and using the data covering the period from the beginning of 1996 to the end of 2012. Results of the estimation are used for assessing the impact of several fundamental variables on the level of the exchange rate and for the determination of periods of undervaluation and overvaluation of the Czech koruna. Finally, based on several criteria, the speed of the convergence of the exchange rate to its equilibrium and in-sample and out-of-sample prediction is evaluated. It is shown that the estimation of the equilibrium exchange rate substantially depends on the applied cointegration method and that the models are able to beat the random walk only in case of the in-sample prediction.