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Analysis of the Slovak economy using VAR models

KRKOŠKOVÁ, Radmila

Basic information

Original name

Analysis of the Slovak economy using VAR models

Authors

KRKOŠKOVÁ, Radmila (203 Czech Republic, guarantor, belonging to the institution)

Edition

Jindřichův Hradec, 36th International Conference on Mathematical Methods in Economics, p. 264-269, 6 pp. 2018

Publisher

MatfyzPress

Other information

Language

English

Type of outcome

Stať ve sborníku

Field of Study

10103 Statistics and probability

Confidentiality degree

není předmětem státního či obchodního tajemství

Publication form

electronic version available online

References:

RIV identification code

RIV/47813059:19520/18:00011155

Organization unit

School of Business Administration in Karvina

ISBN

978-80-7378-371-6

Keywords in English

ADF test of stationarity; Cointegration relation; Granger causality; VAR model; VEC model
Změněno: 21/11/2019 15:04, RNDr. Daniel Jakubík

Abstract

V originále

The paper aims to analyse and model chose macroeconomic variables of the Slovak economy and their dynamics using VAR models. This article shows the application of selected model on real-time series of chosen macroeconomic indica-tors using four variables (R - interest rate, M - money supply (M2), P - price level (CPI), Y - GDP). We identify and test four long-run relationships. There are de-scribed Granger causality, impulse response function, cointegration and error correc-tion models. The estimation outputs are interpreted. The quality econometric model for modelling macroeconomic time series in Slovak economy is discussed. The cal-culations used EViews software version 9. The structural model is estimated for the Slovak economy. The data used have the character of a quarterly time series in the period from Q1/2005 to Q4/2017. The data source was the National Bank of Slova-kia and the Eurostat database.