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The impact of macroeconomic factors on exchange rate volatility in the Czech Republic
Shahinaj, Ariola ; Kočenda, Evžen (vedoucí práce) ; Horváth, Roman (oponent)
Exchange rate is one of the most significant factors of economic growth and its stability has a direct impact on country's competitiveness in the international trade. The aim of this thesis is to investigate the impact of unemployment rate (UR), inflation rate (INF), interest rate (IR), industrial production index (IPI), government expenditure (GE) and net exports (NX) on exchange rate (CZKEUR) volatility in the Czech Republic. For this purpose, the volatility forecast of Czech Koruna to Euro (CZKEUR) exchange rate is analyzed by the GARCH and MGARCH models. Moreover, the autoregressive distributed lag (ARDL) model was applied to examine the presence of any dynamic short-run or long-run relationship between the nominal exchange rate and macroeconomic variables, using monthly data for the time period from January 1999 to December 2019. The findings indicate that there is a short-run relationship between unemployment rate, inflation rate, net exports and the exchange rate. Error Correction Model result show that exchange rate has relatively weak adjustment to equilibrium with a of 7.6% speed of adjustment, whenever there is a shock in long-run equilibrium. JEL Classification F12, F21, F23, H25, H71, H87 Keywords exchange rate volatility, ARDL, GARCH, ECM. Author's e-mail 33049215@fsv.cuni.cz...
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