Monetary Transmission Mechanism in Ukraine on its Way to Inflation Targeting Regime Implementation

• Thesis title in Czech: Transmisní mechanismy monetární politiky na Ukrajině na cestě do zavedení režimu targetovani inflace
• Thesis title in English: Monetary Transmission Mechanism in Ukraine on its Way to Inflation Targeting Regime Implementation
• Key words: Monetary Transmission Mechanism, Exchange Rate Pass Through, Inflation Targeting, Vector Autoregression
• English key words: Monetary Transmission Mechanism, Exchange Rate Pass Through, Inflation Targeting, Vector Autoregression
• Academic year of topic announcement: 2010/2011
• Thesis type: diploma thesis
• Thesis language: angličtina
• Department: Institute of Economic Studies (23-IES)
• Supervisor: prof. Roman Horváth, Ph.D.
• Author: hidden - assigned by the advisor
• Date of registration: 10.06.2011
• Date of assignment: 10.06.2011
• Date and time of defence: 13.09.2012 00:00
• Venue of defence: IES
• Date of electronic submission: 08.08.2012
• Date of proceeded defence: 13.09.2012
• Opponents: Mgr. Adrian Babin, M.A.

Preliminary scope of work

This thesis investigates the role of the exchange rate and interest rate channels in the monetary transmission mechanism in Ukraine. The responses on the domestic as well as Russian economy shocks are estimated using the Vector Autoregression Model with block-exogeneity restriction. Monetary transmission did not prove to be strongly effective via neither of the estimated channels, although the exchange rate channel demonstrates the results which are more in line with the economic theory. In addition, the exchange rate channel shows the higher and more significant pass through. Further, we estimate the importance of the shocks of both home and foreign economies for the domestic variables deviations using variance decomposition technique. The relevance of the Russian shocks in fluctuations of home variables is found out. The current estimation of the transmission mechanism is relevant due to the planned inflation targeting regime implementation in Ukraine which requires understanding of that processes in the economy.

Preliminary scope of work in English

This thesis investigates the role of the exchange rate and interest rate channels in the monetary transmission mechanism in Ukraine. The responses on the domestic as well as Russian economy shocks are estimated using the Vector Autoregression Model with block-exogeneity restriction. Monetary transmission did not prove to be strongly effective via neither of the estimated channels, although the exchange rate channel demonstrates the results which are more in line with the economic theory. In addition, the exchange rate channel shows the higher and more significant pass through. Further, we estimate the importance of the shocks of both home and foreign economies for the domestic variables deviations using variance decomposition technique. The relevance of the Russian shocks in fluctuations of home variables is found out. The current estimation of the transmission mechanism is relevant due to the planned inflation targeting regime implementation in Ukraine which requires understanding of that processes in the economy.