Aplikácia modelu vektorovo autoregresívnych procesov na posúdenie vhodnosti menovej integrácie Slovenska
Using Vector Autoregressive Processes for Examination of Desirability of Monetary Integration of Slovakia

Summary/Abstract: This contribution presents vector autoregressive processes, some aspects of their modelling anted possibilities of identification of these models. After estimation of purely data driven models, reflecting no economic theory in explicit manner, their residuals and parameters are used in computation of structural residuals that can be interpreted in sense of economic theory. This technique was applied pair wise to GDP growth rate and CPI inflation rate in Slovakia, Germany and Euro area. Correlations of these structural residuals among countries are a measure of symmetry of reactions to outside shocks. Our analysis shows certain symmetry between Slovakia and Germany in supply shocks. This is important for monetary integration of Slovakia, as Germany is the most important trade partner of Slovakia in the EMU, despite problems with modelling, typical for modelling transition economies, and resulting uncertainty

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