The Causal Impact of the Rapid Czech Interest Rate Hike on the Czech Exchange Rate Assessed by the Bayesian Structural Time Series Model

IF 3 Q1 ECONOMICS
Ondřej Bednář
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Abstract

I have employed the Bayesian Structural Time Series model to assess the recent interest rate hike by the Czech Central Bank and its causal impact on the Koruna exchange rate. By forecasting exchange rate time series in the absence of the intervention we can subtract the observed values from the prediction and estimate the causal effect. The results show that the impact was little and time limited in one model specification and none in the second version. It implies that the Czech Central Bank possesses the ability to diverge significantly from the Eurozone benchmark interest rate at least in the short term. It also shows that the interest rate hike will not be able to curb global inflation forces on the domestic price level.
用贝叶斯结构时间序列模型评估捷克快速加息对捷克汇率的因果影响
我使用贝叶斯结构时间序列模型来评估捷克中央银行最近的加息及其对克朗汇率的因果影响。通过在没有干预的情况下预测汇率时间序列,我们可以从预测中减去观测值并估计因果关系。结果表明,在一个模型规范中,影响很小且有时间限制,而在第二个版本中没有影响。这意味着,至少在短期内,捷克央行拥有明显偏离欧元区基准利率的能力。这也表明,加息将无法抑制全球通胀对国内物价水平的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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