The Impact of Anticipated and Unanticipated Exchange Rate Variability in Ukraine
This article studies the impact of the anticipated and unanticipated components of the nominal effective exchange rate on Ukraine’s main macroeconomic indicators. The study uses quarterly data from 1999 to 2016 and considers the relationship with the budget balance, incomes of trading partner countr...
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| Format: | Article |
| Language: | English |
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National Bank of Ukraine
2017-09-01
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| Series: | Visnyk of the National Bank of Ukraine |
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| Online Access: | https://journal.bank.gov.ua/en/article/2017/241/03 |
| _version_ | 1818921886917066752 |
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| author | Viktor Shevchuk |
| author_facet | Viktor Shevchuk |
| author_sort | Viktor Shevchuk |
| collection | DOAJ |
| description | This article studies the impact of the anticipated and unanticipated components of the nominal effective exchange rate on Ukraine’s main macroeconomic indicators. The study uses quarterly data from 1999 to 2016 and considers the relationship with the budget balance, incomes of trading partner countries, global interest rates, and global raw material prices. Using the time-varying coefficient model (the Kalman filter), the research shows that a depreciation of the hryvnia accelerates wholesale price inflation and negatively affects the performance of GDP and industrial output – these effects were clearly visible after the financial crisis of 2008-2009). However, the research found that only unanticipated changes in the exchange rate have an impact on agricultural production. The results are justified by means of a modified AD-AS model with rational expectations that accounts for the main mechanisms of the influence of the exchange rate on aggregate demand and supply amid a high level of dollarization in the economy. |
| first_indexed | 2024-12-20T01:44:47Z |
| format | Article |
| id | doaj.art-4cbaecfa5a1146bd901fe83f274898e4 |
| institution | Directory Open Access Journal |
| issn | 2414-987X |
| language | English |
| last_indexed | 2024-12-20T01:44:47Z |
| publishDate | 2017-09-01 |
| publisher | National Bank of Ukraine |
| record_format | Article |
| series | Visnyk of the National Bank of Ukraine |
| spelling | doaj.art-4cbaecfa5a1146bd901fe83f274898e42022-12-21T19:57:48ZengNational Bank of UkraineVisnyk of the National Bank of Ukraine2414-987X2017-09-01241344710.26531/vnbu2017.241.033The Impact of Anticipated and Unanticipated Exchange Rate Variability in UkraineViktor Shevchuk0Lviv University of Trade and EconomicsThis article studies the impact of the anticipated and unanticipated components of the nominal effective exchange rate on Ukraine’s main macroeconomic indicators. The study uses quarterly data from 1999 to 2016 and considers the relationship with the budget balance, incomes of trading partner countries, global interest rates, and global raw material prices. Using the time-varying coefficient model (the Kalman filter), the research shows that a depreciation of the hryvnia accelerates wholesale price inflation and negatively affects the performance of GDP and industrial output – these effects were clearly visible after the financial crisis of 2008-2009). However, the research found that only unanticipated changes in the exchange rate have an impact on agricultural production. The results are justified by means of a modified AD-AS model with rational expectations that accounts for the main mechanisms of the influence of the exchange rate on aggregate demand and supply amid a high level of dollarization in the economy.https://journal.bank.gov.ua/en/article/2017/241/03ukraineexchange rateincomewholesale price inflationkalman filter |
| spellingShingle | Viktor Shevchuk The Impact of Anticipated and Unanticipated Exchange Rate Variability in Ukraine Visnyk of the National Bank of Ukraine ukraine exchange rate income wholesale price inflation kalman filter |
| title | The Impact of Anticipated and Unanticipated Exchange Rate Variability in Ukraine |
| title_full | The Impact of Anticipated and Unanticipated Exchange Rate Variability in Ukraine |
| title_fullStr | The Impact of Anticipated and Unanticipated Exchange Rate Variability in Ukraine |
| title_full_unstemmed | The Impact of Anticipated and Unanticipated Exchange Rate Variability in Ukraine |
| title_short | The Impact of Anticipated and Unanticipated Exchange Rate Variability in Ukraine |
| title_sort | impact of anticipated and unanticipated exchange rate variability in ukraine |
| topic | ukraine exchange rate income wholesale price inflation kalman filter |
| url | https://journal.bank.gov.ua/en/article/2017/241/03 |
| work_keys_str_mv | AT viktorshevchuk theimpactofanticipatedandunanticipatedexchangeratevariabilityinukraine AT viktorshevchuk impactofanticipatedandunanticipatedexchangeratevariabilityinukraine |