Úrokový transmisní mechanismus v České republice

Abstract

Due to significant lags between a monetary policy action and the subsequent responses in the economy, understanding the transmission mechanism is of primary importance for conducting monetary policy. This thesis aims to empirically verify the relationship between interest rates and inflation employing the vector autoregressive models. The first part of thesis deals with monetary policy and transmission mechanisms. The second part of thesis represents principles of model VAR, And the third part of thesis applies VAR model to the real time series of macroeconomic indicators for Czech Republic. The relationship among variables are analysed by related approaches - Granger causality, impulse response functions nad variance decomposition.