Je možné předpovídat repo sazbu ČNB na základě zpět hledícího měnového pravidla?
[Is it Possible to Predict the CNB Repo Rate on the Basis of the Backward-Looking Monetary Rule?]
The aim of our paper is to formulate and empirically verify the simple backward looking econometric model of the monetary rule, which would be able to describe the development of CNB repo rate, namely only on the basis of statistically measured and in the given time available information. We focus on the period after 1998, when the CNB´s inflation targeting policy is implemented and the repo rate (14 days) plays the role of the monetary policy rate. In the paper we discuss some methodological problems associated with the "ex post" empirical verification of the central bank monetary rule. We construct an empirical model of the monetary rule, justify the choice and the inclusion of explanatory variables, we analyze the statistical properties of time series and verify the alternative forms of econometric models. Our analysis showed that the development of CNB repo rate in the reporting period can be explained by the past and present evolution of three explanatory variables: the yearly inflation rate, the exchange rate and the ECB repo rate. The annualized inflation rate proved to be statistically insignificant in the model. We find interesting that the statistical quality of the estimated model was further increased after a six-month delay of the yearly inflation rate. The obtained results indicate that in determining the CNB repo rate the expected future level of the yearly inflation rate does not play important role and the last yearly inflation rate is more important than its present level.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 2012 (2012)
Issue (Month): 4 ()
|Contact details of provider:|| Postal: nam. W. Churchilla 4, 130 67 Praha 3|
Phone: (02) 24 09 51 11
Fax: (02) 24 22 06 57
Web page: http://www.vse.cz/
More information through EDIRC
|Order Information:|| Postal: Redakce Politické ekonomie, Vysoká škola ekonomická, nám. W. Churchilla 4, 130 67 Praha 3|
Web: http://www.vse.cz/polek/ Email:
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Andrews, Donald W K & Monahan, J Christopher, 1992.
"An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator,"
Econometric Society, vol. 60(4), pages 953-66, July.
- Donald W.K. Andrews & Christopher J. Monahan, 1990. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Cowles Foundation Discussion Papers 942, Cowles Foundation for Research in Economics, Yale University.
- Svensson, Lars E. O., 2000.
"Open-economy inflation targeting,"
Journal of International Economics,
Elsevier, vol. 50(1), pages 155-183, February.
- Lars E. O. Svensson, 2000. "Open-Economy Inflation Targeting," NBER Working Papers 6545, National Bureau of Economic Research, Inc.
- Svensson, Lars E.O., 1998. "Open-Economy Inflation Targeting," Seminar Papers 638, Stockholm University, Institute for International Economic Studies.
- Svensson, Lars E O, 1998. "Open-Economy Inflation Targeting," CEPR Discussion Papers 1989, C.E.P.R. Discussion Papers.
- Svensson, L.E.O., 1998. "Open-Economy Inflation Targeting," Papers 638, Stockholm - International Economic Studies.
- Svensson, Lars E. O., 1999.
"Inflation targeting as a monetary policy rule,"
Journal of Monetary Economics,
Elsevier, vol. 43(3), pages 607-654, June.
- Svensson, Lars E O, 1998. "Inflation Targeting as a Monetary Policy Rule," CEPR Discussion Papers 1998, C.E.P.R. Discussion Papers.
- Svensson, Lars E. O., 1998. "Inflation targeting as a monetary policy rule," CFS Working Paper Series 1998/16, Center for Financial Studies (CFS).
- Lars E.O. Svensson, 1998. "Inflation Targeting as a Monetary Policy Rule," NBER Working Papers 6790, National Bureau of Economic Research, Inc.
- Svensson, Lars E.O., 1998. "Inflation Targeting as a Monetary Policy Rule," Seminar Papers 646, Stockholm University, Institute for International Economic Studies.
- Svensson, L.E.O., 1998. "Inflation Targeting as a Monetary Policy Rule," Papers 646, Stockholm - International Economic Studies.
- repec:prg:jnlpep:v:2010:y:2010:i:2:id:366:p:99-117 is not listed on IDEAS
- John B. Taylor, 2001. "The Role of the Exchange Rate in Monetary-Policy Rules," American Economic Review, American Economic Association, vol. 91(2), pages 263-267, May.
- Juan Paez-Farrell, 2007. "Understanding monetary policy in Central European countries using Taylor-type rules: the case of the Visegrad four," Economics Bulletin, AccessEcon, vol. 5(3), pages 1-11.
- repec:prg:jnlpep:v:2000:y:2000:i:3:id:80 is not listed on IDEAS
- Yash P. Mehra, 1999. "A forward-looking monetary policy reaction function," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 33-54.
- Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 195-214, December.
- repec:ebl:ecbull:v:5:y:2007:i:3:p:1-11 is not listed on IDEAS
- M. S. Mohanty & Marc Klau, 2004. "Monetary policy rules in emerging market economies: issues and evidence," BIS Working Papers 149, Bank for International Settlements.
- Jaromír Beneš & Jaromír Hurník & David Vávra, 2008. "Exchange Rate Management and Inflation Targeting: Modeling the Exchange Rate in Reduced-Form New Keynesian Models," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(03-04), pages 166-194, May.
- repec:ebl:ecbull:v:5:y:2005:i:7:p:1-16 is not listed on IDEAS
- Jaromir Benes & Tibor Hledik & Michael Kumhof & David Vavra, 2005. "An Economy in Transition and DSGE: What the Czech National Bankâ€™s New Projection Model Needs," Working Papers 2005/12, Czech National Bank, Research Department.
- Frömmel, Michael & Schobert, Franziska, 2006. "Monetary Policy Rules in Central and Eastern Europe," Hannover Economic Papers (HEP) dp-341, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Ramon Maria-Dolores, 2005. "Monetary Policy Rules In Accession Countries to EU: Is the Taylor rule a pattern?," Economics Bulletin, AccessEcon, vol. 5(7), pages 1-16.
When requesting a correction, please mention this item's handle: RePEc:prg:jnlpol:v:2012:y:2012:i:4:id:858:p:484-504. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Frantisek Sokolovsky)
If references are entirely missing, you can add them using this form.