The Macro-finance Model of the Czech Economy

The thesis introduces the macro-finance model of the Czecheconomy by setting the VAR model, which includes components representing theyield curve estimatedwithin theNelson-Siegel framework. The thesis contributes to the current streamof researchby including both the policy interest rateand the interbank interest rateas endogeneous variables in the VAR model, which allows for differentiation between monetarypolicy shocks and shocks to interbank rates. The above-mentioned model then serves as a frameworkfor analyzing interactions betweenfinancial and macroeconomicvariables in the period from 2000 to 2015. The thesis pays special attention to theperiod 2008-2013 and shows that the introduction of the FX commitment in November 2013 had a significant positive effect on GDP and inflation within 12 months after the introduction of the FX commitment. The thesis concludes that exchangeratemovements affectedalmost uniformly short-term and long-terminterest rates, and thus the yield curve slope stayed largelyunaffected by exchangeratemovements