Zdrojový dokument:Scientific papers of the University of Pardubice. Series D, Faculty of Economics and Administration. 42/2018
ISSN:ISSN 1211-555X (Print)
Abstrakt:
The aim of this paper is to analyze the influence of monetary policy on
economic indicators – if monetary aggregate M3 has influence on consumer price
index (CPI) and gross domestic product (GDP) in the Czech Republic, the USA, the
Eurozone and Switzerland. Cointegration this selected indicator M3 is demonstrated
in relation to the development of CPI and GDP using the Engle - Granger
cointegration test. Data from the years 2007–2016 are included in the analysis. We
determine the optimum delay using inforamtion criterion for all-time series analyzed.
Then we analyzed the presence of a unit root using the Dickey - Fuller test and we
excluded time series which appear to be stationary. If the conditions are met, testing
then continued with the Engle - Granger test to detect cointegration relations, which
would determine a relationship between selected indicators. Based on Engle-Granger
test, we found that doesn´t exist cointegration relationship between M3 and CPI and
GDP in the Czech Republic and the Eurozene ((un)conventional monetary policies are
ineffective). On the contrary, in the case of the USA and Switzerland, the impact of the
M3 monetary aggregate on GDP and CPI was confirmed ((un)conventional monetary
policies are effective).