Work detail

The Macro-finance Model of the Czech Economy

Author: Mgr. Jana Urbánková
Year: 2017 - winter
Leaders: PhDr. Jaromír Baxa Ph.D.
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: English
Pages: 74
Awards and prizes: B.A. with distinction from the Director of IES FSV UK for an extraordinarily good bachelors diploma thesis.
Link: https://is.cuni.cz/webapps/zzp/detail/152001/
Abstract: The thesis introduces the macro-finance model of the Czech economy by setting the VAR model, which
includes components representing the yield curve estimated within the Nelson-Siegel framework. The
thesis contributes to the current stream of research by including both the policy interest rate and the
interbank interest rate as endogeneous variables in the VAR model, which allows for differentiation
between monetary policy shocks and shocks to interbank rates. The above-mentioned model then serves
as a framework for analyzing interactions between financial and macroeconomic variables in the period
from 2000 to 2015.
The thesis pays special attention to the period 2008-2013 and shows that the introduction of the FX
commitment in November 2013 had a significant positive effect on GDP and inflation within 12 months
after the introduction of the FX commitment. The thesis concludes that exchange rate movements
affected almost uniformly short-term and long-term interest rates, and thus the yield curve slope stayed
largely unaffected by exchange rate movements.
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