The Causal Relationship Between Exchange Rate Volitility, Stock Price Volitility and Unemployment Rate in Czech Republic A SVAR Analysis

摘要

This paper examines the granger causal relationship among exchange rate volitility, stock price volitility and unemployment rate in Czech Republic using GARCH and SVAR models. The conditional variance predicted by the GARCH model provides a better measurement of volitility than the standard deviation, and SVAR model allows for contemporaneous interaction among variables compared with the standard VAR model. The result shows that both exchange rate and stock price volitility has persistent positive impact on the unemployment rate, and there is a bidirectional positive causality between exchange rate and stock price volitility.