Politická ekonomie 2019, 67(6):593-610 | DOI: 10.18267/j.polek.1262

Modelování makroekonomických agregátů české a slovenské ekonomiky pomocí var modelů

Radmila Krkoškováa
a Slezská univerzita v Opavě, Obchodně podnikatelská fakulta v Karviné

Modelling Macroeconomic Aggregates of the Czech and Slovak Economies Using Var Models

The aim of the paper is to analyse, model and compare selected macroeconomic variables of the Czech and Slovak economies and their dynamics using VAR models. This article shows an application of a selected model on real-time series of chosen macroeconomic indicators using four variables (R - interest rate, M - money supply (M2), P - price level (CPI), Y - GDP). We identify and test two long-run relationships. The following hypotheses have been confirmed: H1: a change in monetary aggregate affects a change in price level and a change in economic growth; H2: there is a causal relationship between GDP and M2; H3: there is a direct correlation between interest rates and the price level anticipated in the Fisher equation. The following methods are used: Granger causality, impulse response function, cointegration and error correction models. In the end, econometric models of macroeconomic time series are compared in the Czech and Slovak economies. The calculations used EViews software.

Keywords: ADF test, Czech economy, Granger causality, Johansen test, Slovak economy
JEL classification: C10, C19, E27

Received: August 11, 2018; Accepted: June 13, 2019; Published: January 6, 2020  Show citation

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Krkošková, R. (2019). Modelling Macroeconomic Aggregates of the Czech and Slovak Economies Using Var Models. Politická ekonomie, 67(6), 593-610. doi: 10.18267/j.polek.1262
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