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@inproceedings{1350983,
author = {Urbanovský, Tomáš and Plíhal, Tomáš},
address = {Tallinn},
booktitle = {The 8th international conference: Economic Challenges in Enlarged Europe},
keywords = {exchange rate; balance of payments; cointegration; VECM; Granger causality},
howpublished = {paměťový nosič},
language = {eng},
location = {Tallinn},
pages = {185-199},
publisher = {Tallinn School of Economics and Business Administration of the Tallinn University of Technology},
title = {Linkage among exchange rate, price level and balance of payments: The case of the Czech Republic},
year = {2016}
}
TY - JOUR
ID - 1350983
AU - Urbanovský, Tomáš - Plíhal, Tomáš
PY - 2016
TI - Linkage among exchange rate, price level and balance of payments: The case of the Czech Republic
PB - Tallinn School of Economics and Business Administration of the Tallinn University of Technology
CY - Tallinn
KW - exchange rate
KW - balance of payments
KW - cointegration
KW - VECM
KW - Granger causality
N2 - Relationships between selected macroeconomic variables - nominal exchange rate, international reserves, real exchange rate, price level, credit and debit transactions of balance of payments - in the Czech Republic have been investigated in presented paper. Implemented cointegration analysis and vector error correction model suggest several pairs of Granger causalities. It has been discovered that change in price level Granger-causes international reserves change and change in debit transactions Granger-causes price level change. These relationships have nature of two-way Granger causalities, which means that reversed relationships hold as well. One-way Granger causality was found also in two cases: change in nominal exchange rate Granger-causes real exchange rate change and change in credit transactions Granger-causes price level change. Other relationships implying Granger causality were inconclusive. Error term was significant only in cases of variables price level and debit transactions, which means that only these variables return to their long-term equilibria.
ER -
URBANOVSKÝ, Tomáš and Tomáš PLÍHAL. Linkage among exchange rate, price level and balance of payments: The case of the Czech Republic. In \textit{The 8th international conference: Economic Challenges in Enlarged Europe}. Tallinn: Tallinn School of Economics and Business Administration of the Tallinn University of Technology, 2016, p.~185-199. ISSN~2382-6797.
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