VAR Analysis of the Exchange Rate Pass-Through Effect in Czech Republic

Thesis title: VAR Analysis of the Exchange Rate Pass-Through Effect in Czech Republic
Author: Borodin, Dmitry
Thesis type: Bachelor thesis
Supervisor: Chrobok, Viktor
Opponents: Zouhar, Jan
Thesis language: English
Abstract:
The paper will empirically investigate the strength and the speed of the exchange rate pass-through effect in the Czech Republic, i.e. the change in the domestic prices, originally caused by the volatility of the exchange rate. VAR modelling framework has been chosen as a main instrument of analysis. Vector autoregression will also be the subject of the theoretical part of the paper, which aims to provide a clear and at the same time many-sided discussion on the relevant topics. Practical part will be completely devoted to the modelling of the exchange rate pass-through.
Keywords: inflation; exchange rate pass-through; impulse response analysis; VAR models
Thesis title: VAR Analýza Exchange Rate Pass-Through v České Republice
Author: Borodin, Dmitry
Thesis type: Bakalářská práce
Supervisor: Chrobok, Viktor
Opponents: Zouhar, Jan
Thesis language: English
Abstract:
Cílem dané práce je empirická analýza dopadu změn kurzu České koruny na domácí úroveň cen. Tomuto se v cizí literatuře říká "exchange rate pass-through". Veškerá analýza je provedena pomoci vektorové autoregrese, na jejímž základě je odvozena funkce odezvy. Funkce odezvy umožňuje zjistit jak sílu, tak i rychlost dopadu změn kurzu koruny na úroveň cen. Celá teoretická část je věnovaná vybraným kapitolám z teorií vektorové autoregrese. Jejím úkolem bude snaha poskytnout jasný, ale na druhou stranu i komplexní pohled na VAR modely. Praktická část se potom zabývá modelováním "exchange rate pass-through".
Keywords: exchange rate pass-through; inflace; funkce odezvy; VAR modely

Information about study

Study programme: Kvantitativní metody v ekonomice/Matematické metody v ekonomii
Type of study programme: Bakalářský studijní program
Assigned degree: Bc.
Institutions assigning academic degree: Vysoká škola ekonomická v Praze
Faculty: Faculty of Informatics and Statistics
Department: Department of Econometrics

Information on submission and defense

Date of assignment: 7. 1. 2013
Date of submission: 15. 1. 2013
Date of defense: 6. 2. 2013
Identifier in the InSIS system: https://insis.vse.cz/zp/40873/podrobnosti

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