The diploma thesis deals with the analysis of the volumes of loans provided by banking entities to households and non-profit institutions serving households on three selected macroaggregates of GDP, the unemployment rate and the repo rate. All these variables take the form of quarterly time series and the period is defined from 1st quarter of 2000 to 3rd quarter of 2019. After seasonal adjustment, time series were tested for the presence of unit root using the ADF test, PP test and KPSS test. Su... show full abstractThe diploma thesis deals with the analysis of the volumes of loans provided by banking entities to households and non-profit institutions serving households on three selected macroaggregates of GDP, the unemployment rate and the repo rate. All these variables take the form of quarterly time series and the period is defined from 1st quarter of 2000 to 3rd quarter of 2019. After seasonal adjustment, time series were tested for the presence of unit root using the ADF test, PP test and KPSS test. Subsequently, the VAR model was estimated, a diagnostic check of the model was performed and the presence of cointegration relations was examined by Johansen test. In all three models was found at least one cointegration relation and therefore it was appropriate to use the VEC model for the analysis of them between time series. The direction of action of the time series was determined on the basis of a test of weak exogeneity. |