Original title: VAR Analysis of the Exchange Rate Pass-Through Effect in Czech Republic
Translated title: VAR Analýza Exchange Rate Pass-Through v České Republice
Authors: Borodin, Dmitry ; Chrobok, Viktor (advisor) ; Zouhar, Jan (referee)
Document type: Bachelor's theses
Year: 2013
Language: eng
Publisher: Vysoká škola ekonomická v Praze
Abstract: [eng] [cze]
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. 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; impulse response analysis; inflation; VAR models; exchange rate pass-through; funkce odezvy; inflace; VAR modely

Institution: University of Economics, Prague (web)
Document availability information: Available in the digital repository of the University of Economics, Prague.
Original record: http://www.vse.cz/vskp/eid/34764

Permalink: http://www.nusl.cz/ntk/nusl-150025


The record appears in these collections:
Universities and colleges > Public universities > University of Economics, Prague
Academic theses (ETDs) > Bachelor's theses