An Analysis of Correlation and Forecast of CZK to EUR in the Unstable Global World

Eva Kalinová,Zuzana Rowland,T Kliestik

doi:10.1051/shsconf/20219209007

Eva Kalinová, Zuzana Rowland + Show 1 more

Open Access

https://doi.org/10.1051/shsconf/20219209007

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Abstract

Research background: In the Czech Republic, the CZK/EUR currency pair is the most observed one not only by Czech consumers but also by Czech and foreign companies. Not only the political situation in the world and the foreign investors but also other variables have a significant influence on the CZK. Purpose of the article: The aim of this paper is to analyse the development of the CZK/EUR exchange rate, to perform a correlation analysis of the CZK/EUR currency pair and to forecast its future development in today’s unstable global world affected by the Coronavirus pandemics. Methods: In order to fulfil the aim of the paper, the data of the CZK/EUR currency pair from the beginning of the year 1999 to mid-June 2020 was used. The correlation analysis and the forecast of the future development of the exchange rate are performed by means of the, in today’s globalized world very promising, technology of artificial neural networks. Findings & Value added: The analysis and the forecast of the exchange rate development is based on the time series model taking the previous value of the exchange rate and its previous volatility into consideration. The strongest propulsion power for the development of the CZK/EUR exchange rate will be the market atmosphere on the world’s markets and the associated capital transfer between risk assets and safe havens. Provided, that the current situation settled down definitively and the economy returned back to its normal state, it is probable that the Czech koruna would gain some part of its significant loss back within a medium-term period.

Highlights

Small and medium-sized enterprises seem to be the backbone of an interconnected global economy
The aim of this paper is to find a suitable method of balancing the time series - the development of the exchange rate of the Czech koruna against the European euro and the subsequent prediction of the development of the mutual EUR/CZK exchange rate
If we take into account the graphically displayed development of balanced time series, the results of the neural networks and gradient boosted trees method seem to be very interesting

Summary

Introduction

Small and medium-sized enterprises seem to be the backbone of an interconnected global economy. Wang et al [2] express a similar opinion when evaluating the COVID-19 epidemic as a global catastrophe with a global economic impact For many businesses, this poses significant problems. A decline in US competitiveness can be expected due to a sharp increase in government expenses on health in the medium-term period These expenditures have the potential for higher growth than in the EU countries. The nuance is the ownership structure of the bank, as small state-owned banks are able to offer financial assistance on favourable terms Another advantage of theirs is a lower susceptibility to cyclical trends and a lower level of management risk while maintaining performance. The gradual transition from fossil fuels to low-carbon energy sources will require many reforms in 5-10 years, especially in the areas of public spending and private sector infrastructure, development of transport systems, charging station networks and sustainable cities [7]

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