ANALÝZA VZÁJEMNÝCH VAZEB MEZI DEVIZOVÝMI KURZY STŘEDOEVROPSKÝCH MĚN

The paper examines long-term and short-term relationships among exchange rates of the Visegrad countries' national currencies vis-a-vis euro. The co-integration tests, vector error correction models and Granger causality tests are applied on the daily nominal exchange rates. The results suggest that long-term linkages are very rare. The only relevant long-term linkage was identified between Polish zloty and Slovak koruna during the period of EU membership. The short-term relationships proved to be significant more often. However, their frequency and intensity have been decreasing during the period analysed. This can be considered as the evidence of diminishing sovereignty of the national currencies and their ability to influence development of other currencies.