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