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Title:
Veljavnost paritete kupne moči analiza primera češke republike
Authors:
ID
Rakovič, Klemen
(Author)
ID
Festić, Mejra
(Mentor)
More about this mentor...
Files:
MAG_Rakovic_Klemen_2020.pdf
(2,32 MB)
MD5: 2616945FB333EC9369E88706243D150B
PID:
20.500.12556/dkum/78b53b26-e42d-4acb-bd35-3f61ebc1ea0a
Language:
Slovenian
Work type:
Master's thesis/paper
Typology:
2.09 - Master's Thesis
Organization:
EPF - Faculty of Business and Economics
Abstract:
V delu preverjamo veljavnost paritete kupne moči (PPP) na primeru Češke republike. Dokazati poskušamo, da teorija PPP drži ne le za eden bazni devizni tečaj, ampak tudi druge tečaje, ki zajemajo valute največjih trgovinskih partneric analizirane države. V prvih poglavjih dela so podrobno prikazani devizno-tečajni režim Češke republike, njeni makroekonomski kazalniki in gospodarsko sodelovanje z drugimi državami. Na podlagi nominalnih deviznih tečajev in indeksov cen smo izračunali realne devizne tečaje češke krone s sedmimi drugimi valutami. Iz teh tečajev smo opravili izračun nominalnega in realnega efektivnega deviznega tečaja. Empirično analizo smo začeli s preverjanjem stacionarnosti sedmih realnih deviznih tečajev in realnega efektivnega deviznega tečaja, za kar smo uporabili ADF test. V drugem delu empirične analize smo preverjali prisotnost kointegracije med nominalnimi deviznimi tečaji in cenovnimi indeksi gospodarstev analiziranih valut. Uporabili smo Johansenov test kointegracije, ocenili koeficiente modela VECM in vpeljali omejitve proporcionalnosti ter simetričnosti koeficientov. Končni rezultati nakazujejo na veljavnost relativne PPP za tečaje CZK/EUR, CZK/PLN, CZK/GBP in CZK/USD, tečaje CZK/CNY, CZK/HUF ter CZK/RUB, končni rezultati nakazujejo na neveljavnost PPP, čeprav smo za vseh sedem deviznih tečajev potrdili obstoj vsaj enega kointegracijskega vektorja.
Keywords:
PPP
,
Češka republika
,
stacionarnost
,
kointegracija
,
devizni tečaj
Place of publishing:
Maribor
Publisher:
[K. Rakovič]
Year of publishing:
2020
PID:
20.500.12556/DKUM-77969
UDC:
339.74
COBISS.SI-ID:
42082563
NUK URN:
URN:SI:UM:DK:L0KC0NBW
Publication date in DKUM:
10.12.2020
Views:
1107
Downloads:
85
Metadata:
Categories:
EPF
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:
RAKOVIČ, Klemen, 2020,
Veljavnost paritete kupne moči analiza primera češke republike
[online]. Master’s thesis. Maribor : K. Rakovič. [Accessed 17 April 2025]. Retrieved from: https://dk.um.si/IzpisGradiva.php?lang=eng&id=77969
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Licences
License:
CC BY-NC-ND 4.0, Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International
Link:
http://creativecommons.org/licenses/by-nc-nd/4.0/
Description:
The most restrictive Creative Commons license. This only allows people to download and share the work for no commercial gain and for no other purposes.
Licensing start date:
28.09.2020
Secondary language
Language:
English
Title:
Validity of the purchase power parity: a case analysis of czech republic
Abstract:
In this work, we examine the validity of purchasing power parity (PPP) on the example of Czech Republic. We try to prove that the theory of PPP holds for, not only one base exchange rate, but also for other rates, that include the currencies of the largest trading partners of the analyzed country. The first chapters of our work present in detail the exchange rate regime of the Czech Republic, its macroeconomic indicators and economic cooperation with other countries. Based on nominal exchange rates and price indices, we calculated the real exchange rates of the Czech koruna with seven other currencies. From these exchange rates, we then performed the calculation of the nominal and real effective exchange rate. We began the empirical analysis by checking the stationarity of seven real exchange rates and the real effective exchange rate, for which we used the ADF test. In the second part of the empirical analysis, we examined the presence of cointegration between nominal exchange rates and price indices of the economies of the analyzed currencies. We used the Johansen test for cointegration, then estimated the coefficients of the VECM model and introduced restrictons of proportionality and symmetry of the coefficients. The final results indicate the validity of the relative PPP for the CZK/EUR, CZK/PLN, CZK/GBP and CZK/USD exchange rates, while the results for the CZK/CNY, CZK/HUF and CZK/RUB exchange rates indicate the invalidity of the PPP, although for all seven exchange rates we confirmed the existence of at least one cointegrating vector.
Keywords:
PPP
,
Czech Republic
,
Stationarity
,
Cointegration
,
Exchange rate
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