Інфляційні процеси України: авторегресійна дистрибутивно-лагова модель
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Дата
2022
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Анотація
У статті реалізовано ARDL (авторегресійну дистрибутивно-лагову) модель інфляційних процесів України, де у якості результуючої змінної індекс споживчих цін, а факторними змінними є обмінний курс гривні до долара США, інфляційні очікування та відсоткова ставка за депозитами. Передмодельний аналіз включає перевірку вхідних чинників моделі на стаціонарність, мультиколінеарність та наявність причинно-наслідкових зв’язків за Гранжером. Згідно з побудованою моделлю на поточне значення ІСЦ впливає його ж попереднє значення, значення курсу валют з лагом в один період, інфляційних очікувань з лагом в один і два періоди та поточне значення відсотка за депозитами. Найбільш умовний вплив на значення ІСЦ мають його ж значення в попередньому періоді та відсоткова ставка за депозитом. ARDL-модель інфляційних процесів України адекватно описує емпіричні дані та може бути використана як для ухвалення управлінських рішень, так і для прогнозування інфляції.
The purpose of the investigation is to identify and quantify the inflation processes in Ukraine and development of the econometric model of inflationary processes based on causal relationships with key indicators Methodology of research. To achieve the goal of the investigation, econometric modeling methods were used, namely autoregressive distributed lag model (ARDL). Findings. The economic variables that affect inflation are analyzed. The results of the analysis of variables for causality, multicollinearity and testing of time series for stationarity are presented. The ARDL approach to modeling inflationary processes in Ukraine has been implemented, based on CPI indicators, the exchange rate of the hryvnia to the US dollar, inflation expectations, and the interest rate on deposits. An analysis of the quality of the ARDL model of inflationary processes was carried out using statistical indicators. Therefore, according to the Granger test and the analysis of the statistical significance of the ARDL model factors, the selected indicators have an impact on the development of the phenomenon of inflation in Ukraine, which is manifested in the change in the price index. According to the ARDL-model, the current value of the CPI is influenced by its previous value, the value of the exchange rate with a lag of one period, inflation expectations with a lag of one and two periods, and the current value of interest rate on the deposit. The most conditional influence on the value of the CPI is its value in the previous period and the interest rate on the deposit. The implemented econometric model is adequate, which has been proven by a number of tests, so it can be used to model the behavior of the inflation phenomenon in Ukraine. The model, of course, cannot be considered universal, but with its help, the factors that have the greatest influence on the development of inflation in the country were highlighted, which, in turn, will allow paying special attention to them when developing anti-inflation measures. Further development of this line of research in the direction of the analysis of a larger range of endogenous and exogenous indicators, the use of more complex approaches, in particular, taking into account qualitative changes (change of political power, war, etc.) and a wider range of econometric tools will allow to supplement the toolkit of macroeconomic modeling of the NBU.
The purpose of the investigation is to identify and quantify the inflation processes in Ukraine and development of the econometric model of inflationary processes based on causal relationships with key indicators Methodology of research. To achieve the goal of the investigation, econometric modeling methods were used, namely autoregressive distributed lag model (ARDL). Findings. The economic variables that affect inflation are analyzed. The results of the analysis of variables for causality, multicollinearity and testing of time series for stationarity are presented. The ARDL approach to modeling inflationary processes in Ukraine has been implemented, based on CPI indicators, the exchange rate of the hryvnia to the US dollar, inflation expectations, and the interest rate on deposits. An analysis of the quality of the ARDL model of inflationary processes was carried out using statistical indicators. Therefore, according to the Granger test and the analysis of the statistical significance of the ARDL model factors, the selected indicators have an impact on the development of the phenomenon of inflation in Ukraine, which is manifested in the change in the price index. According to the ARDL-model, the current value of the CPI is influenced by its previous value, the value of the exchange rate with a lag of one period, inflation expectations with a lag of one and two periods, and the current value of interest rate on the deposit. The most conditional influence on the value of the CPI is its value in the previous period and the interest rate on the deposit. The implemented econometric model is adequate, which has been proven by a number of tests, so it can be used to model the behavior of the inflation phenomenon in Ukraine. The model, of course, cannot be considered universal, but with its help, the factors that have the greatest influence on the development of inflation in the country were highlighted, which, in turn, will allow paying special attention to them when developing anti-inflation measures. Further development of this line of research in the direction of the analysis of a larger range of endogenous and exogenous indicators, the use of more complex approaches, in particular, taking into account qualitative changes (change of political power, war, etc.) and a wider range of econometric tools will allow to supplement the toolkit of macroeconomic modeling of the NBU.
Опис
Ключові слова
інфляційні процеси, авторегресійна модель, інфляція, інфляційні очікування, ARDL-модель, inflation processes, autoregressive model, inflation, inflation expectations, ARDL-model
Бібліографічний опис
Зомчак Л. Інфляційні процеси України: авторегресійна дистрибутивно-лагова модель [Текст] / Л. Зомчак, А. Лапінкова // Цифрова економіка та економічна безпека : науково-практичний журнал / Причорноморський науково-дослідний інститут економіки та інновацій, Сумський державний педагогічний університет імені А. С. Макаренка ; [гол. ред. О. Ю. Кудріна, редкол.: В. В. Божкова, В. І. Борщ, Н. М. Вдовенко та ін.]. – 2022. – № 1 (01). – С. 50–55. – DOI: https://doi.org/10.32782/dees.1-8