Вплив передбачуваних і непередбачуваних змін обмінного курсу в Україні
a Львівський торгово-економічний університет, Львів, Україна
Анотація

За квартальними даними 1999-2016 рр. оцінено вплив передбачуваної і непередбачуваної компонент номінального ефективного обмінного курсу на основні макроекономічні показники економіки України (додатково враховано залежність від сальдо бюджету, доходу країн-торговельних партнерів, світової процентної ставки та світових цін на сировину). З використанням статистичного методу з гнучкими коефіцієнтами (фільтр Кальмана) встановлено, що девальвація гривні прискорює інфляцію оптових цін та погіршує динаміку ВВП і промислового виробництва (зазначені ефекти виявляються переважно після фінансової кризи 2008-2009 рр.). Втім, на виробництво в аграрному секторі впливають лише непередбачувані зміни обмінного курсу. Отримані результати пояснено за допомогою модифікованої моделі AD-AS із раціональними очікуваннями, що враховує основні механізми впливу обмінного курсу на сукупний попит і сукупну пропозицію за умов доларизації економіки.

Дати публікації
Опубліковано онлайн 29 September 2017
1808
перегляди
684
завантаження
Текст Статті
Завантажити
Цитування
Стаття є перекладом з англійської. Під час цитування використовуйте оригінальну назву публікації
Цитуйте як: Shevchuk, V. (2017). The Impact of Anticipated and Unanticipated Exchange Rate Variability in Ukraine. Visnyk of the National Bank of Ukraine, 241, 34-47. https://doi.org/10.26531/vnbu2017.241.033
Формат цитування

Метрики
Література

Acevedo, S., Cebotari, A., Greenidge, K., Keim, G. (2015). External devaluations: are small states different? Working Paper, 15/240. Washington: International Monetary Fund. https://doi.org/10.5089/9781513512914.001

Agenor, P. R. (1991). Output, devaluation and the real exchange rate in developing countries. Review of World Economics, 127(1), 18-41. https://doi.org/10.1007/BF02707309

Ahmed, S., Gust, C., Kamin, S., Huntley, J. (2002). Are depreciations as contractionary as devaluations? A comparison of selected emerging and industrial economies. FRB International Finance Discussion Paper, 737. Washington: Federal Reserve System. https://doi.org/10.17016/ifdp.2002.737

An, L., Kim, G., Ren, X. (2014). Is devaluation expansionary or contractionary: Evidence based on vector autoregression with sign restrictions. Journal of Asian Economics, 34, 27-41. https://doi.org/10.1016/j.asieco.2014.03.003

Bahmani-Oskooee, M., Kutan, A. (2008). Are devaluations contractionary in emerging economies of Eastern Europe? Economic Change, 41(1), 61-74. https://doi.org/10.1007/s10644-008-9041-9

Bahmani-Oskooee, M., Miteza, I. (2006). Are devaluations contractionary? Evidence from panel cointegration. Economic Issues, 11(1), 49-64.

Bebczuk, R., Galindo, A., Panizza, U. (2006). An evaluation of the contractionary devaluation hypothesis. Working Paper, 582. Inter-American Development Bank. https://doi.org/10.2139/ssrn.1820059

Beirne, J., Bijsterbosch, M. (2009). Exchange rate pass-through in Central and Eastern European member states. Working Paper, 1120. European Central Bank. Retrieved from https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1120.pdf

Beveridge, S., Nelson, C. (1981). A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle. Journal of Monetary Economics, 7(2), 151-174. https://doi.org/10.1016/0304-3932(81)90040-4

Blanchard, O., Faruqee, H., Das, M. (2010). The Initial Impact of the Crisis on Emerging Market Countries. Brookings Papers on Economic Activity, 41(1), 263-323. https://doi.org/10.1353/eca.2010.0005

Bussière, M., Saxena, S., Tovar, C. (2012). Chronicle of currency collapses: Re-examining the effects on output. Journal of International Money and Finance, 31(4), 680-708. https://doi.org/10.1016/j.jimonfin.2012.01.008

Chou, W., Chao, C-C. (2001). Are currency devaluations effective? A panel unit root test. Economics Letters, 72(1), 19-25. https://doi.org/10.1016/S0165-1765(01)00399-8

Delli Gatti, D., Gallegati, M., Greenwald, B., Stiglitz, J. (2007). Net worth, exchange rates, and monetary policy: the effects of a devaluation in a financially fragile environment. Working Paper, 13244. Cambridge: National Bureau of Economic Research. https://doi.org/10.3386/w13244

Faryna, O. (2015). Nonlinear exchange rate pass-through to domestic prices in Ukraine. Visnyk of the National Bank of Ukraine, 236, 30-42. https://doi.org/10.26531/vnbu2016.236.030

Fetai, B., Zeqiri, I. (2010). The impact of monetary policy and exchange rate regime on real GDP and prices in the Republic of Macedonia. Economic and Business Review, 12(4), 263-284.

Forbes, K. (2002). Cheap labor meets costly capital: The impact of devaluations on commodity firms. Journal of Development Economics, 69(2), 335-365. https://doi.org/10.1016/S0304-3878(02)00092-5

Frankel, J. (2005). Mundell-fleming lecture: contractionary currency crashes in develo-ping countries. IMF Staff Papers, 52(2), 149-192. https://doi.org/10.2307/30035893

Freund, C., Pierola, M. (2012). Export surges: the power of a competitive currency. Working Paper, 4750, 387-395. Washington: World Bank Policy Research. https://doi.org/10.1596/1813-9450-4750

Grui, A., Lepushynskyi, V. (2016). Applying foreign exchange interventions as an additional instrument under inflation targeting: The case of Ukraine. Visnyk of the National Bank of Ukraine, 238, 39-56. https://doi.org/10.26531/vnbu2016.238.039

Gupta, P., Mishra, D., Sahay, R. (2003). Output response to currency crises. Working Paper, 03/230, Washington: International Monetary Fund. https://doi.org/10.5089/9781451875522.001

Haug, A., Jedrzejowicz, T., Sznajderska, A. (2013). Combining monetary and fiscal policy in an SVAR for a small open economy. Working Papers, 168. National Bank of Poland, Warsaw. https://doi.org/10.2139/ssrn.2369254

Hsing, Y. (2016a). Is real depreciation expansionary? The case of the Slovak Republic. Applied Econometrics and International Development, 16(2), 55-62. Retrieved from http://www.usc.es/economet/reviews/aeid1624.pdf

Hsing, Y. (2016b). Is real depreciation expansionary? The case of the Czech Republic. Theoretical and Applied Economics, 23(3), 93-100. Retrieved from http://store.ectap.ro/articole/1200.pdf

Hsing, Y. (2016c). Impacts of government debt, the exchange rate and other macroeconomic variables on aggregate output in Croatia. Managing Global Transitions, 14(3), 223-232. Retrieved from http://www.fm-kp.si/zalozba/ISSN/1581-6311/14_223-231.pdf

Hsing, Y., Krenn, M. (2016). Effects of fiscal policy and exchange rates on aggregate output in Bulgaria. Socio-Economic Problems and the State, 14(1), 11-17. https://doi.org/10.14254/2223-3822.2016.14-1.2

Hutchison, M., Noy, I. (2005). How bad are twins? Output costs of currency and banking crises. Journal of Money, Credit and Banking, 37(4), 725-752. https://doi.org/10.1353/mcb.2005.0043

IMF (2006). Exchange Rates and Trade Balance Adjustment in Emerging Market Economies. Retrieved from https://www.imf.org/external/np/pp/eng/2006/101006.pdf

Kamin, S., Klau, M. (1998). Some multi-country evidence on the effects of real exchange rates on output. International Finance Discussion Papers, 611. Washington: Board of Governors of the Federal Reserve System. https://doi.org/10.17016/ifdp.1998.611

Kamin, S., Rogers, G. (2000). Output and the RER in developing countries: an application to Mexico. Journal of Development Economics, 61(1), 85-109. https://doi.org/10.1016/s0304-3878(99)00062-0

Kandil, M. (2015). The adverse effects of real exchange rate variability in Latin America and the Caribbean. Journal of Applied Economics, 18(1), 99-120. https://doi.org/10.1016/S1514-0326(15)30005-2

Kandil, M., Mirzaie, I. (2003). The effect of exchange rate fluctuations on output and prices: Evidence from developing countries. Working Paper, 03/200. Washington: International Monetary Fund. https://doi.org/10.5089/9781451860184.001

Kohler, M., Manalo, J., Perera, D. (2014). Exchange rate movements and economic activity. Bulletin Reserve Bank of Australia, 47-54 

Krugman, P., Taylor, R. (1978). Contractionary effects of devaluation. Journal of International Economics, 78(8), 445-456. https://doi.org/10.1016/0022-1996(78)90007-7

Lizondo, J., Montiel, P. (1988). Contractionary devaluation in developing countries: An analytical overview. Working Paper, 88/51. Washington: International Monetary Fund. https://doi.org/10.2307/3867174

McCallum, B. (1996). International Monetary Economics. N.Y.: Oxford: Oxford University Press.

Mendoza, E., Uribe, M. (2000). Devaluation risk and the business-cycle implications of exchange-rate management. Carnegie-Rochester Conference Series on Public Policy, 53(1), 239-296. https://doi.org/10.1016/S0167-2231(01)00032-X

Mills, T., Pentecost, E. (2001). The real exchange rate and the output response in four EU accession countries. Emerging Markets Review, 2(4), 418-430. https://doi.org/10.1016/S1566-0141(01)00027-9

Mirdala, R. (2013). Real output and prices adjustments under different exchange rate regimes. William Davidson Institute Working Paper, 1064. The University of Michigan. https://doi.org/10.2139/ssrn.2370627

Miteza, I. (2006). Devaluation and output in five transition economies: A panel cointegration approach of Poland, Hungary, Czech Republic, Slovakia and Romania, 1993-2000. Applied Econometrics and International Development, 6(1), 77-86. Retrieved from http://www.usc.es/economet/journals1/aeid/aeid616.pdf

Moreno, R. (1999). Depreciation and recessions in East Asia. FRBSF Economic Review, 3, 27-40. Retrieved from https://www.frbsf.org/economic-research/files/27-40.pdf

Morley, J. (2011). The two interpretations of the Beveridge–Nelson decomposition. Macroeconomic Dynamics, 15(3), 419-439. https://doi.org/10.1017/S1365100510000118

Pineres, S., Cantavella-Jorda, M. (2010). Short-run effects of devaluation: a disaggregated analysis of Latin American exports. Applied Economics, 42(2), 133-142. https://doi.org/10.1080/00036840701579259

Rojas-Suarez, L. (1992). Limited capital markets and the real effects of monetary stabilization policies under alternative exchange rate regimes. Journal of International Money and Finance, 11(6), 594-613. https://doi.org/10.1016/0261-5606(92)90006-J

Sanchez, M. (2005). The link between interest rates and exchange rates. Do contractionary depreciations make a difference? Working Paper Series, 548. Frankfurt: European Central Bank. Retrieved from https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp548.pdf

Shevchuk, V. (2008). Platizhnyj balans, ekonomichne zrostannya stabilizacijna polityka (in Ukrainian). Lviv: Kalvaria.

Shevchuk, V. (2016a). Modelling of exchange rate effects and complimentaries between agriculture and industry in Ukraine. Information Systems in Management, 5(3), 401-412.

Shevchuk, V. (2016b). The real and nominal effects of large devaluations in Ukraine. Argumenta Oeconomica Cracoviensia, 14, 97-118. https://doi.org/10.15678/aoc.2016.1405

Stelmakh V. (2001). National Bank of Ukraine: first ten years of activity. Visnyk of the National Bank of Ukraine, 4, 2-4.

Twarowska, K. (2015). The impact of exchange rate on poland's trade flows. International Journal of Management, Knowledge and Learning, 4(1), 41-57. Retrieved from https://www.issbs.si/press/ISSN/2232-5697/4_41-57.pdf

Yurchyshyn, V. (2016).Globalnyj kontekst valutnoi polityky I napryamy posylennya stijkoski natsionalnoyi hroshovoji odynytsi v Ukraini. Suchasna valutna polityka ta osoblyvosti jiji realizatsii v Ukraini (in Ukrainian). Kyiv: Zapovit.
 

Права та Дозволи
Ця стаття ліцензована відповідно до Creative Commons Attribution-NonCommercial 4.0 International License. Якщо інше не зазначено, рисунки та інші матеріали представлені на загальних для усієї статті умовах ліцензії Creative Commons. Якщо матеріали не ліцензовані відповідно до Creative Commons, користувачі мають запитувати у власника прав дозволу на їх відтворення чи використання.
Подати статтю