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 |