| URBANOVSKÝ, Tomáš. The Connection between the Exchange Rate and the Balance of Payments Accounts in the Czech Republic: An Econometric Approach. Financial Assets and Investing. Brno: Masarykova univerzita, 2017, vol. 8, No 1, p. 58-71. ISSN 1804-5081. Available from: https://dx.doi.org/10.5817/FAI2017-1-4. |
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@article{1359156,
author = {Urbanovský, Tomáš},
article_location = {Brno},
article_number = {1},
doi = {http://dx.doi.org/10.5817/FAI2017-1-4},
keywords = {exchange rate; balance of payments; cointegration; VECM},
language = {eng},
issn = {1804-5081},
journal = {Financial Assets and Investing},
title = {The Connection between the Exchange Rate and the Balance of Payments Accounts in the Czech Republic: An Econometric Approach},
volume = {8},
year = {2017}
}
TY - JOUR
ID - 1359156
AU - Urbanovský, Tomáš
PY - 2017
TI - The Connection between the Exchange Rate and the Balance of Payments Accounts in the Czech Republic: An Econometric Approach
JF - Financial Assets and Investing
VL - 8
IS - 1
SP - 58-71
EP - 58-71
PB - Masarykova univerzita
SN - 18045081
KW - exchange rate
KW - balance of payments
KW - cointegration
KW - VECM
N2 - Relationships between the nominal exchange rate, the current account and the financial account of the balance of payments in the Czech Republic are investigated in this presented paper. The implemented cointegration analysis and vector error correction model suggest one pair of Granger causality. It has been discovered that change in the current account balance Granger-causes a change in financial account balance. This relationship has the nature of two-way Granger causality, which means that a reversed relationship holds as well. Other relationships implying Granger causality were not found. Error terms were significant only in regressions with both accounts as dependent variables, which imply that only these variables return to their long-term equilibria. Because an increase in financial account surplus leads to a decrease in current account surplus (or deepening the current account deficit), excessive liberalization of the Czech financial system can lead to a large capital inflow, jeopardizes current account sustainability and results in a currency crisis in the Czech economy.
ER -
URBANOVSKÝ, Tomáš. The Connection between the Exchange Rate and the Balance of Payments Accounts in the Czech Republic: An Econometric Approach. \textit{Financial Assets and Investing}. Brno: Masarykova univerzita, 2017, vol.~8, No~1, p.~58-71. ISSN~1804-5081. Available from: https://dx.doi.org/10.5817/FAI2017-1-4.
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