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Modelování makroekonomických agregátů české a slovenské ekonomiky pomocí var modelů
[Modelling Macroeconomic Aggregates of the Czech and Slovak Economies Using Var Models]

Author

Listed:
  • Radmila Krkošková

Abstract

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.

Suggested Citation

  • Radmila Krkošková, 2019. "Modelování makroekonomických agregátů české a slovenské ekonomiky pomocí var modelů [Modelling Macroeconomic Aggregates of the Czech and Slovak Economies Using Var Models]," Politická ekonomie, Prague University of Economics and Business, vol. 2019(6), pages 593-610.
    • Handle: RePEc:prg:jnlpol:v:2019:y:2019:i:6:id:1262:p:593-610
    DOI: 10.18267/j.polek.1262
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    References listed on IDEAS

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    More about this item

    Keywords

    ADF test; Czech economy; Granger causality; Johansen test; Slovak economy;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications

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