Trends in the CZK Development and AR(I)MA Forecasting

Ota Melcher

Acta Oeconomica Pragensia, 2015, vol. 2015, issue 2, 3-21

Abstract: The European integration process has had severe impacts on the development of exchange rates of member states' currencies. For small and open economies which trade large part of both their production input and output in foreign currencies the real exchange rates are of a special importance. This paper looks at the drivers behind the evolution of the real exchange rate of CZK within the European integration process. Beside the decomposition of the general long term trend, several factors of exchange rate fluctuations are depicted. Furthermore the recent halt in long term trend in real CZK appreciation towards EUR is discussed. Finally the study shows statistical simulation of future nominal EUR/CZK development with help of AR(I)MA models employed on different data series. Models' findings picture the gaps between observed and predicted values in the period following the exchange intervention of the Czech National Bank (CNB) from November 2013.

Keywords: real and nominal exchange rate; ARIMA; ARMA; effective exchange rate; appreciation; depreciation; forecasting; stationarity (search for similar items in EconPapers)
JEL-codes: E31 E42 F31 F36 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://aop.vse.cz/doi/10.18267/j.aop.467.html (text/html)
http://aop.vse.cz/doi/10.18267/j.aop.467.pdf (application/pdf)
free of charge

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:prg:jnlaop:v:2015:y:2015:i:2:id:467:p:3-21

Ordering information: This journal article can be ordered from
Redakce Acta Oeconomica Pragensia, Vysoká škola ekonomická v Praze, nám. W. Churchilla 4, 130 67 Praha 3
http://aop.vse.cz

DOI: 10.18267/j.aop.467

Access Statistics for this article

Acta Oeconomica Pragensia is currently edited by Klára Šimůnková

More articles in Acta Oeconomica Pragensia from Prague University of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by Stanislav Vojir ().