Určení rovnovážného měnového kurzu české koruny

Abstract

The aim of the thesis is to determine the equilibrium exchange rate of the Czech crown using the behavioral equilibrium exchange rate (BEER), or the permanent equilibrium exchange rate (PEER). For these approaches it is necessary to choose the right determinants that enter the calculations. Individual econometric tests were used for these calculations, which mainly include the cointegration test. Thanks to this test, it is possible to count on data that are not stationary in the level, but still do not lose important information, which could happen if another test is used. Following the inclusion in the VEC model, short-term deviations of the real exchange rate from its equilibrium level were found. Considering R2, the statistical significance of the models and variables, corresponding to the expected effect, two suitable models were chosen for interpretation, which found that nearly one-third of the short-term deviations would return to their equilibrium by the next quarter. The graphical analysis, which was developed from the results of the BEER model, confirmed the hypotheses that the exchange rate was undervalued at the time of the exchange rate commitment and at the time of the beginning of the economic crisis. The graph also showed the years when the real exchange rate remained at its equilibrium level and when it was overvalued, eg in 2002, just before the crisis, before and after interventions. Compared to the CNB's empiricism, the results are surprisingly almost identical, despite the use of other variables. This confirms that the equilibrium exchange rate is affected by many variables, which in my work clearly include the labor productivity differential, the share of real investment in GDP, the share of the Czech Republic's international investment position in GDP, the share of net exports in GDP, terms of trade, foreign debt to GDP and the real interest rate differential.