Modelling of the Ukrainian monetary sector using dynamic system of simultaneous equations

Pervin Array Dadashova,


Author's ORCID identifiers:


Abstract


The paper presents a concept of the Ukrainian monetary sector modeling with the use of a dynamic system of simultaneous equations that differs from existing models by the inclusion of the deviations from a long term balance correction mechanism. Therefore, it includes a Ukrainian monetary sector model developed basing on this approach. For the representation of the interest rate channel of the transmission mechanism in the model the main regulatory instruments of the National bank of Ukraine were defined and the combined index of the interest rates on them was calculated with the use of vector autoregressional models. The evaluation of the model allowed for the both representations of the long term interrelations between variables and detection of the potential ability of the indicators to restore balance or to destabilize macroeconomic environment. The most sensitive to the changes in the monetary sector are proved to be the interest rates on short-term deposits and exchange rate. In general, developed model has high explanatory capacity and forecasting precision. Made scenario analysis demonstrates the advantages of the complex economic interrelations representation and the usage of proposed methodology for macroeconomic modelling.    

Keywords


monetary sector; consumer price index; exchange rate; monetary policy instruments; system of simultaneous equations; error correction mechanism.

References


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Citations

Cite this article in APA format:

Dadashova, P. (2016). Modelling of the Ukrainian monetary sector using dynamic system of simultaneous equations. Scientific Papers NaUKMA. Economics, 1(1), 54-61.

Cite this article in GOST format:

Dadashova Pervin. Modelling of the Ukrainian monetary sector using dynamic system of simultaneous equations // Scientific Papers NaUKMA. Economics. - 2016. - Vol. 1, N. 1. - P. 54-61.

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ISSN: 2519-4747 (online); 2519-4739 (print)