Analýza vzájemných vztahů v nekryté úrokové paritě (příklad měnového páru CZK/EUR)

Abstract

Analysis of Relations in Uncovered Interest Rate Parity: Example of CZK/EUR Exchange Rate The aim of the paper is to make an empirical verification of both concepts of the validity of uncovered interest rate parity, ex post and ex ante, using the predicted CZK/EUR exchange rate (for one month and one year) as a proxy variable for market expectations. We formulate the difference between the econometric procedures applied in the case of stationary and non-stationary time series. We perform a cointegration analysis and empirical verification of the error correction model, where PRIBOR interest rates and the actual and expected development of the CZK/EUR spot rate act as endogenous variables. The foreign EURIBOR interest rate (one-month and one-year) is considered an exogenous variable in our analysis, as we do not assume the influence of the Czech economy on this interest rate. We have found that long-term cointegration relations within the uncovered interest rate parity are determined by the inflation-targeting policy pursued by the CNB since 1998. In short-term relations, the foreign EURIBOR interest rate determines the development of the domestic PRIBOR interest rate. The development of the CZK/EUR spot exchange rate is sensitive to changes in the VIX global financial risk indicator. Growth of the VIX indicator leads to a weakening of the Czech koruna on the one-month time horizon and to its retrospective strengthening over the one-year time horizon. Changes in the expected CZK/EUR spot exchange rate respond in a corrective way to previous changes in expectations, in the case of both month- ly and annual forecast horizons. The depreciation (appreciation) of the CZK/EUR spot ex-change rate is associated with the subsequent expected depreciation (appreciation) of the ko- runa exchange rate. This fact signals the adaptability of exchange rate expectations over the monthly and annual forecast horizons.