How Much of the Macroeconomic Variation in Ukraine Originates From External Shocks?
| Název práce v češtině: | How Much of the Macroeconomic Variation in Ukraine Originates From External Shocks? |
|---|---|
| Název v anglickém jazyce: | How Much of the Macroeconomic Variation in Ukraine Originates From External Shocks? |
| Klíčová slova: | vektorová autoregrese, zahraniční šoky, měnová politika, Ukrajina |
| Klíčová slova anglicky: | vector autoregression, foreign shocks, monetary policy, Ukraine |
| Akademický rok vypsání: | 2016/2017 |
| Typ práce: | diplomová práce |
| Jazyk práce: | angličtina |
| Ústav: | Institut ekonomických studií (23-IES) |
| Vedoucí / školitel: | PhDr. Jaromír Baxa, Ph.D. |
| Řešitel: | skrytý - zadáno vedoucím/školitelem |
| Datum přihlášení: | 10.02.2017 |
| Datum zadání: | 10.02.2017 |
| Datum a čas obhajoby: | 31.01.2018 08:30 |
| Místo konání obhajoby: | Opletalova - Opletalova 26, O105, Opletalova - místn. č. 105 |
| Datum odevzdání elektronické podoby: | 05.01.2018 |
| Datum proběhlé obhajoby: | 31.01.2018 |
| Oponenti: | doc. Ing. Tomáš Cahlík, CSc. |
| Kontrola URKUND: | |
| Zásady pro vypracování |
| It had been several years since monetary policy authorities in Ukraine started thinking about adoption of Inflation Targeting regime following neighboring European countries, which had similar problems with monetary policy effectiveness, in particular, high inflation rates and their high volatility. Understanding that low and stable inflation is one of the main inputs for sustainable economic growth achievable by a central bank, Inflation Targeting (IT) was considered by the National Bank of Ukraine (NBU) as the most appropriate monetary regime for creating the environment of low and stable inflation. A formal regime of IT was declared at the end of 2016, in the principles of the monetary policy for 2017-2020.
The accuracy of achieving inflation targets is determined by exogenous factors. Therefore, for an intermediate size open economy, such as Ukraine, the research on external sources of inflation and output movements is of great practical significance. This type of analysis is usually done using Vector Autoregression Models (VAR). As examples of such research for Central and Eastern European countries can be mentioned papers of Mackowiak (2006) and Horvath and Rusnak (2008). There is not much research done in this area for Ukraine, which may be caused by limitations in data availability in previous years. Ukrainian researchers mostly focus on Monetary Policy transmission and effectiveness of certain channels (Petryk, 2008; Bilan and Kryshko, 2008) or determinants of inflation (Leheyda, 2005; Hryvniv et al., 2005), rather than sources of inflation and output movements. But there exist several global studies that include analysis for Ukraine (Galesi and Lombardi, 2009). |
| Seznam odborné literatury |
| Bilan, O., Kryshko, M., 2008. Does Monetary Transmission in Ukraine Go Through the Interest Rates? Institute for Economic Research and Policy Consulting Working Paper., University of Pennsylvania.
Galesi, A., Lombardi, M.J., 2009. External shocks and international inflation linkages: a global VAR analysis. European Central Bank Working Paper Series, No 1062. Horvath R., Rusnak M.M., 2008. How Important Are Foreign Shocks in Small Open Economy? The Case of Slovakia. IES Working Paper 21/2008, Charles University in Prague. Hryvniv, V. et al., 2005. Sustaining Low Inflation in Ukraine. CASE Reports, No. 63. Leheyda N., 2005. Determinants of inflation in Ukraine: a cointegration approach. Center for Doctoral Studies in Economics and Management (CDSEM) Working Paper, University of Mannheim. Mackowiak B., 2006. How Much of the Macroeconomic Variation in Eastern Europe is Attributable to External Shocks? Comparative Economic Studies, Vol. 48, 523–544. Petryk O.I., Mishchenko V.I., Lysenko. R.S., Sonyk A.V., Shulka S.O., Mikolaychuk S.A., 2008. Monetary Transmission Mechanism in Ukraine. Center of Economic Research Working Paper, National Bank of Ukraine. |
| Předběžná náplň práce |
| Methodology
For the analysis, I am going to use information from the World Bank Database, OECD Data, State Statistics Service of Ukraine and National Bank of Ukraine. The decision about the frequency of data will depend on its availability. Mostly for this type of analysis is used quarterly data, but there are 20 years of statistical data available for Ukraine with just 10 years of relative stability, which in quarterly frequency may be not enough for the analysis. One option of methodology, which could be used for estimation of the influence of the foreign shocks, is structural vector autoregression model (SVAR) with blocks. In this case, first, I will consider VAR model for the home economy. Then I will add two exogenous blocks, which will be presented by vectors of variables of the EU (represented by Germany, as it is the biggest European trade partner of Ukraine) and Russian economies, because of high dependency of Ukrainian economy on mutual trade with these countries. Since Ukrainian economy is much smaller than economies of Germany and Russia, it is reasonable to assume that Ukrainian variables do not influence the variables of abovementioned countries. Empirical results will be obtained from interpretation of impulse response functions and forecast variance decomposition. But other methodologies will be considered as well and the final decision will depend on its appropriateness for analysis of data from Ukraine. Contribution Earlier studies used quite short datasets and did not focus in particular on sources of inflation and output movements in Ukraine. Results of such analysis could be found useful for setting monetary policy rule in order to achieve inflation targets, which is the main objective of the IT regime that is going to be employed by Ukraine starting from 2017. Outline 1. Introduction: I will explain the motivation for the topic. 2. Literature review: I will briefly describe how this topic was studied before and presented in the academic literature. 3. Data: I will describe which variables and why were chosen for the analysis. 4. Methods: I will briefly explain my VAR model with two exogenous blocks. 5. Empirical Results: I will discuss obtained impulse responses, variance decomposition, and robustness checks. 6. Concluding remarks: I will sum up my findings and their policy implications, including suggestions for future research. |
| Předběžná náplň práce v anglickém jazyce |
| Methodology
For the analysis, I am going to use information from the World Bank Database, OECD Data, State Statistics Service of Ukraine and National Bank of Ukraine. The decision about the frequency of data will depend on its availability. Mostly for this type of analysis is used quarterly data, but there are 20 years of statistical data available for Ukraine with just 10 years of relative stability, which in quarterly frequency may be not enough for the analysis. One option of methodology, which could be used for estimation of the influence of the foreign shocks, is structural vector autoregression model (SVAR) with blocks. In this case, first, I will consider VAR model for the home economy. Then I will add two exogenous blocks, which will be presented by vectors of variables of the EU (represented by Germany, as it is the biggest European trade partner of Ukraine) and Russian economies, because of high dependency of Ukrainian economy on mutual trade with these countries. Since Ukrainian economy is much smaller than economies of Germany and Russia, it is reasonable to assume that Ukrainian variables do not influence the variables of abovementioned countries. Empirical results will be obtained from interpretation of impulse response functions and forecast variance decomposition. But other methodologies will be considered as well and the final decision will depend on its appropriateness for analysis of data from Ukraine. Contribution Earlier studies used quite short datasets and did not focus in particular on sources of inflation and output movements in Ukraine. Results of such analysis could be found useful for setting monetary policy rule in order to achieve inflation targets, which is the main objective of the IT regime that is going to be employed by Ukraine starting from 2017. Outline 1. Introduction: I will explain the motivation for the topic. 2. Literature review: I will briefly describe how this topic was studied before and presented in the academic literature. 3. Data: I will describe which variables and why were chosen for the analysis. 4. Methods: I will briefly explain my VAR model with two exogenous blocks. 5. Empirical Results: I will discuss obtained impulse responses, variance decomposition, and robustness checks. 6. Concluding remarks: I will sum up my findings and their policy implications, including suggestions for future research. |