VEKTORSKI AUTOREGRESIJSKI PANEL U ANALIZI NEUSKLAĐENOSTI REALNIH TEČAJEVA ČLANICA EKONOMSKE I MONETARNE UNIJE

professional thesis

• Author: Antoni Šitum
• Mentor: Josip Arnerić (mentor); MBZ: 274256
• Committee member: Nataša Erjavec (predsjednik povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Statistics); Zagreb
• Defense date and country: 2021-03-09, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics; Business Mathematics and Statistics

Abstract

U ovom radu analizirane su determinante neusklađenosti realnih tečajeva članica Ekonomske i monetarne unije (EMU). U uvodnom dijelu objašnjen je značaj realnog deviznog tečaja u ekonomskim integracijama te su identificirane varijable koje imaju značajan utjecaj na kretanje neusklađenosti realnih tečajeva članica EMU, a pretpostavljeni teorijski mehanizmi između odabranih varijabli su opisani i analizirani. U analitičkom dijelu specificirani su i procijenjeni adekvatni vektorski autoregresijski panel modeli (PVAR) neusklađenosti realnih tečajeva te makroekonomskih i financijskih varijabli pomoću generalizirane metode momenata (GMM) te su analizirane funkcije impulsnog odaziva (IRF) i dekompozicije varijance prognostičke pogreške zavisne varijable kako bi se odredili utjecaji odabranih nezavisnih varijabli na neusklađenost realnih tečajeva članica EMU.

Abstract (english)

In this work, the determinants of the real exchange rate misalignments of the members of the Economic and Monetary Union (EMU) are analyzed. The introductory part explains the importance of the real exchange rate in economic integration and identifies variables that have a significant impact on the movement of the real exchange rate misalignments of EMU members, and the assumed theoretical mechanisms between the selected variables are described and analyzed. In the analytical part, adequate panel vector autoregression models (PVAR) of the real exchange rate misalignments and macroeconomic and financial variables were specified and estimated using the generalized method of moments (GMM), and impulse response functions (IRF) and forecast error variance decompositions were analyzed in order to determine the effects of selected independent variables on the real exchange rate misalignments of EMU members.

• Keywords: Ekonomska i monetarna unija (EMU); neusklađenost realnih tečajeva; vektorski autoregresijski panel model (PVAR); generalizirana metoda momenata (GMM); funkcija impulsnog odaziva (IRF); dekompozicija varijance.
• Keywords (english): Economic and Monetary Union (EMU); real exchange rate misalignments; panel vector autoregression models (PVAR); generalized method of moments (GMM); impulse response functions (IRF); forecast error variance decomposition.
• Language: croatian
• URN:NBN: urn:nbn:hr:148:676687
• Study programme: Title: Statistical Methods for Economic Analysis and Forecasting; Study programme type: university; Study level: postgraduate specialist; Academic / professional title: sveučilišni/a specijalist/specijalistica statističkih metoda za ekonomske analize i prognoziranje (sveučilišni/a specijalist/specijalistica statističkih metoda za ekonomske analize i prognoziranje)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2021-04-06 08:12:14