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The Impact of Monetary Policy on CPI and GDP in the Czech Republic and Switzerland for the Period 2000-2016
Year: 2018
Type of publication: článek ve sborníku
Name of source: Hradec Economic Days 2018. Part 1
Publisher name: Univerzita Hradec Králové
Place: Hradec Králové
Page from-to: 140-150
Titles:
Language Name Abstract Keywords
cze Dopady měnové politiky na CPI a HDP v České republice a Švýcarsku v letech 2000-2016 Cílem příspěvku je provést komparaci účinnosti měnové politiky v období nízkých úrokových sazeb a devizových intervencí v České republice a Švýcarsku (s využití měnového agregátu M3 a jeho vlivu na CPI a HDP). Vzájemné vztahy jsou zjišťovány pomocí Engle-Grangerova kointegračního testu. Kointegrační test je prováděn na zvolených statistických datech v letech 2000 až 2016. Na základě provedených testů bylo zjištěno, že neexistuje dlouhodobý vztah mezi M3 a CPI, resp. HDP, což znamená, že lze měnovou politiku v České republice a Švýcarsku považovat za ne příliš účinnou. měnová politika; kointegrační analýza; CPI; HDP; M3
eng The Impact of Monetary Policy on CPI and GDP in the Czech Republic and Switzerland for the Period 2000-2016 The aim of this paper is to compare the effectiveness of the monetary policy implemented at the time of low interest rates and foreign exchange interventions in the Czech Republic and Switzerland (using the monetary aggregate M3 and its impact on CPI and GDP). The followed relationship between these values is analyzed using the Engle-Granger cointegration test. These tests are conducted on select statistical data from the years 2000 to 2016. The input data are quarterly in nature and have been seasonally adjusted. For determining the cointegration relationship, it is possible to proceed with the Engle-Granger test, which is meant to determine the long-term relationship between the effectiveness of the monetary policy – between the monetary aggregates M3 and GDP and the relationship between M3 and CPI in the Czech Republic and Switzerland. On the basis of these tests, it was found that there is no cointegration relationship between any time series at a level of significance of 0.05; this means that no long-term relationship was found between the M3 and GDP and also for M3 and CPI. Not finding long-term relationships between M3 and CPI, respectively GDP, means that the monetary policy in the Czech Republic and Switzerland was in the period 2000-2016 ineffective. monetary policy; cointegration analysis; CPI; GDP; M3

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