Облікова ставка як інструмент монетарної політики: прогнозування методами економетричного аналізу
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Дата
2022
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Анотація
У статті спрогнозовано облікову ставку України із використанням монетарного правила Тейлора на основі прогнозів макроекономічних індикаторів розвитку економіки України, отриманих із використанням авторегресійних економетричних моделей. Реалізовано підхід до моделювання реального ВВП України на квартальних даних за період 2012–2021 роки, якийпередбачає врахування економічних показників, що мають вплив на рівень реального ВВП(індекс споживчих цін, кількість безробітного населення, експорт товарів та послуг, капітальні інвестиції та обмінний курс гривні до долара США), за допомогою авторегресійних економетричних методів, ARIMA та VAR моделі використані для прогнозування реального ВВП України. Слід зазначити, що моделі показують тенденцію реального ВВП до повномасштабного вторгнення в Україну, оскільки відсутні оновлені статистичні дані. За допомогою рівняння Тейлора оцінене значення облікової ставки України.
The purpose of the investigation is forecasting of the key policy rate of Ukraine with econometric methods and models, namely autoregressive models. The following research methods were used in the investigation: methods of economic and mathematical modeling, econometric analysis, autoregressive models, ARIMA and VAR models. One of the main tools of monetary policy is the key policy rate. The most famous monetary rule for setting the discount rate is known as the Taylor rule. Making correct decisions regarding the level of the key policy rate involves the use of mathematical methods and models for forecasting the main macroeconomic indicators of the country's development, in particular, econometric methods and models. The economic variables that affect the real GDP of Ukraine are analyzed. The results of the analysis of variables for causality and the test ofseries for stationarity are presented. An approach to modeling the real GDP of Ukraine with ARIMA and VAR models was implemented and a forecast for the first quarter of 2022 was obtained. It is worth noting that the model reflects the trend until 2022 without taking into account the war factor. The Taylor monetary rule was applied to forecast the key policy rate for the first quarter of 2022. The situation before russia full-scale invasion of Ukraine and the current situation regarding the level of inflation and the forecast of real GDP are also analyzed. The implemented models are adequate, which is confirmed by a number of econometric tests, so it can be used for modeling and forecasting the quarterly real GDP in Ukraine. The application of Taylor classical monetary rule indicates the expediency of its use for the economy of Ukraine. According to forecasts of the ARIMA model, the key policy rate should be set at the level of 10.5%, and according to the forecast of the VAR model, at the level of 11%. So, in order to achieve the goal of monetary policy, it is advisable to use the classical Taylor rule for the economy of Ukraine, but a sustainable model of the economy should be developed and inflation risks should be taken into account when making decisions. The NBU should conduct a restraining monetary policy due to inflationary risks. Currently, because of the war, monetary instruments of influence are ineffective, so the NBU first decided to keep the discount rate at 10%, and later increased it to 25%.
The purpose of the investigation is forecasting of the key policy rate of Ukraine with econometric methods and models, namely autoregressive models. The following research methods were used in the investigation: methods of economic and mathematical modeling, econometric analysis, autoregressive models, ARIMA and VAR models. One of the main tools of monetary policy is the key policy rate. The most famous monetary rule for setting the discount rate is known as the Taylor rule. Making correct decisions regarding the level of the key policy rate involves the use of mathematical methods and models for forecasting the main macroeconomic indicators of the country's development, in particular, econometric methods and models. The economic variables that affect the real GDP of Ukraine are analyzed. The results of the analysis of variables for causality and the test ofseries for stationarity are presented. An approach to modeling the real GDP of Ukraine with ARIMA and VAR models was implemented and a forecast for the first quarter of 2022 was obtained. It is worth noting that the model reflects the trend until 2022 without taking into account the war factor. The Taylor monetary rule was applied to forecast the key policy rate for the first quarter of 2022. The situation before russia full-scale invasion of Ukraine and the current situation regarding the level of inflation and the forecast of real GDP are also analyzed. The implemented models are adequate, which is confirmed by a number of econometric tests, so it can be used for modeling and forecasting the quarterly real GDP in Ukraine. The application of Taylor classical monetary rule indicates the expediency of its use for the economy of Ukraine. According to forecasts of the ARIMA model, the key policy rate should be set at the level of 10.5%, and according to the forecast of the VAR model, at the level of 11%. So, in order to achieve the goal of monetary policy, it is advisable to use the classical Taylor rule for the economy of Ukraine, but a sustainable model of the economy should be developed and inflation risks should be taken into account when making decisions. The NBU should conduct a restraining monetary policy due to inflationary risks. Currently, because of the war, monetary instruments of influence are ineffective, so the NBU first decided to keep the discount rate at 10%, and later increased it to 25%.
Опис
Ключові слова
ключова ставка, авторегресійна модель, облікова ставка, правило Тейлора, ARIMA-модель, VAR-модель, монетарна політика, key policy rate, autoregressive model, policy interest rate, Taylor rule, ARIMA model, VAR model, monetary policy
Бібліографічний опис
Зомчак Л. Облікова ставка як інструмент монетарної політики: прогнозування методами економетричного аналізу [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. – № 2 (02). – С. 39–45. – DOI: https://doi.org/10.32782/dees.2-7