Interconnection of Interest Rate, Price Level, Money Supply and Real GDP: The Case of the Czech Republic

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URBANOVSKÝ Tomáš

Rok publikování 2016
Druh Článek ve sborníku
Konference Procedia - Social and Behavioral Sciences: 19th International Conference Enterprise and Competitive Environment 2016
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

Citace
www http://ac.els-cdn.com/S1877042816306309/1-s2.0-S1877042816306309-main.pdf?_tid=0bad5aae-5cc2-11e6-ad58-00000aab0f27&acdnat=1470590097_21cc38e0e008c32db5c8d33a6b4aa481
Obor Ekonomie
Klíčová slova Interest rate; price level; money supply; GDP; VAR; Granger causality
Popis The main aim of this paper is to investigate relationships between selected macroeconomic variables – interest rate, price level, money supply and real GDP – in the Czech Republic in order to find out definite implications of its interactions and give recommendations to macroeconomic policy authorities. Implemented vector autoregression approach suggests that three pairs of Granger causality exist, in particular past price level change Granger-causes interest rate change, past real GDP Granger-causes interest rate change and finally past real GDP change Granger-causes price level change. The model allows forecasting the direction of change in case of variables interest rate and real GDP with a high success rate.
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