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Cointegration and long-run structural modelling of the Czech economy

机译：捷克经济的协整和长期结构模型

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摘要

The purpose of this paper is to modify and empirically verify the modelling strategy developed by Garratt, Lee, Pesaran and Shin (2006). The strategy provides a practical approach to incorporating theoretic long-run relationships of a small open economy through a structural vector error correction model (VECM). The structure of a macroeconometric model accommodates a description of production technology and output determination, arbitrage conditions, long-run solvency requirements and accounting identities and stock-flow relations. This leads to five expected long-run equations: the relative purchasing power parity (PPP), the real money market equilibrium condition (MD), the output gap (OG), the interest rate parity (IRP) and the interest rate relationship - Fisher inflation parity (FIP). We apply this modelling strategy to the Czech economy. The data are quarterly and run from the first quarter 1999 to the fourth quarter of 2010. The domestic variables are real money stock, real gross domestic product, the nominal interest rate, the rate of inflation and the domestic price level. Further endogenous variables are the nominal exchange rate, the foreign price level, foreign real GDP, the foreign interest rate. We are able to identify the long-run structure amongst those variables and to test over-identifying restrictions on the cointegrating vectors.
机译：本文的目的是修改和凭经验验证Garratt，Lee，Pesaran和Shin（2006）开发的建模策略。该策略为通过结构矢量误差校正模型（VECM）合并小型开放经济的理论长期关系提供了一种实用方法。宏观经济计量模型的结构包含生产技术和产量确定，套利条件，长期偿付能力要求以及会计身份和库存流关系的描述。这导致了五个预期的长期方程：相对购买力平价（PPP），实际货币市场均衡条件（MD），产出缺口（OG），利率平价（IRP）和利率关系-Fisher通胀平价（FIP）。我们将此建模策略应用于捷克经济。数据为季度数据，从1999年第一季度到2010年第四季度。国内变量为实际货币存量，实际国内生产总值，名义利率，通货膨胀率和国内价格水平。进一步的内生变量是名义汇率，外国价格水平，外国实际GDP，外国利率。我们能够识别这些变量中的长期结构，并测试对协整向量的过度识别限制。

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