Acta Oeconomica Pragensia 2015, 23(2):3-21 | DOI: 10.18267/j.aop.467

Trends in the CZK Development and AR(I)MA Forecasting

Ota Melcher
Vysoká škola ekonomická v Praze, Fakulta mezinárodních vztahů, katedra mezinárodního obchodu (e-mail: ota.melcher@vse.cz).

The European integration process has had severe impacts on the development of exchange rates of member states' currencies. For small and open economies which trade large part of both their production input and output in foreign currencies the real exchange rates are of a special importance. This paper looks at the drivers behind the evolution of the real exchange rate of CZK within the European integration process. Beside the decomposition of the general long term trend, several factors of exchange rate fluctuations are depicted. Furthermore the recent halt in long term trend in real CZK appreciation towards EUR is discussed. Finally the study shows statistical simulation of future nominal EUR/CZK development with help of AR(I)MA models employed on different data series. Models' findings picture the gaps between observed and predicted values in the period following the exchange intervention of the Czech National Bank (CNB) from November 2013.

Keywords: real and nominal exchange rate, ARIMA, ARMA, effective exchange rate, appreciation, depreciation, forecasting, stationarity
JEL classification: E31, E42, F31, F36

Published: April 1, 2015  Show citation

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Melcher, O. (2015). Trends in the CZK Development and AR(I)MA Forecasting. Acta Oeconomica Pragensia, 23(2), 3-21. doi: 10.18267/j.aop.467
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