Validity of the purchase power parity: a case analysis of czech republic

V delu preverjamo veljavnost paritete kupne moči (PPP) na primeru Češke republike. Dokazati poskušamo, da teorija PPP drži ne le za eden bazni devizni tečaj, ampak tudi druge tečaje, ki zajemajo valute največjih trgovinskih partneric analizirane države. V prvih poglavjih dela so podrobno prikazani devizno-tečajni režim Češke republike, njeni makroekonomski kazalniki in gospodarsko sodelovanje z drugimi državami. Na podlagi nominalnih deviznih tečajev in indeksov cen smo izračunali realne devizne tečaje češke krone s sedmimi drugimi valutami. Iz teh tečajev smo opravili izračun nominalnega in realnega efektivnega deviznega tečaja. Empirično analizo smo začeli s preverjanjem stacionarnosti sedmih realnih deviznih tečajev in realnega efektivnega deviznega tečaja, za kar smo uporabili ADF test. V drugem delu empirične analize smo preverjali prisotnost kointegracije med nominalnimi deviznimi tečaji in cenovnimi indeksi gospodarstev analiziranih valut. Uporabili smo Johansenov test kointegracije, ocenili koeficiente modela VECM in vpeljali omejitve proporcionalnosti ter simetričnosti koeficientov. Končni rezultati nakazujejo na veljavnost relativne PPP za tečaje CZK/EUR, CZK/PLN, CZK/GBP in CZK/USD, tečaje CZK/CNY, CZK/HUF ter CZK/RUB, končni rezultati nakazujejo na neveljavnost PPP, čeprav smo za vseh sedem deviznih tečajev potrdili obstoj vsaj enega kointegracijskega vektorja.In this work, we examine the validity of purchasing power parity (PPP) on the example of Czech Republic. We try to prove that the theory of PPP holds for, not only one base exchange rate, but also for other rates, that include the currencies of the largest trading partners of the analyzed country. The first chapters of our work present in detail the exchange rate regime of the Czech Republic, its macroeconomic indicators and economic cooperation with other countries. Based on nominal exchange rates and price indices, we calculated the real exchange rates of the Czech koruna with seven other currencies. From these exchange rates, we then performed the calculation of the nominal and real effective exchange rate. We began the empirical analysis by checking the stationarity of seven real exchange rates and the real effective exchange rate, for which we used the ADF test. In the second part of the empirical analysis, we examined the presence of cointegration between nominal exchange rates and price indices of the economies of the analyzed currencies. We used the Johansen test for cointegration, then estimated the coefficients of the VECM model and introduced restrictons of proportionality and symmetry of the coefficients. The final results indicate the validity of the relative PPP for the CZK/EUR, CZK/PLN, CZK/GBP and CZK/USD exchange rates, while the results for the CZK/CNY, CZK/HUF and CZK/RUB exchange rates indicate the invalidity of the PPP, although for all seven exchange rates we confirmed the existence of at least one cointegrating vector