Detail práce

How Much of the Macroeconomic Variation in Ukraine Originates From External Shocks?

Autor: Mgr. Alona Fedorova
Rok: 2018 - zimní
Vedoucí: PhDr. Jaromír Baxa Ph.D.
Typ práce: Diplomová
Ekonomická teorie
Jazyk: Anglicky
Stránky: 72
Abstrakt: In this thesis, we investigate the relative importance of foreign shocks in the
Ukrainian economy by estimating a small-scale SVAR model with block exogeneity
restriction over the period 2003:2 – 2016:12. We find that external shocks from the
EU and Russia account for a significant share of the macroeconomic variation in
Ukraine. In particular, external shocks account for up to 97 % of variance in
Ukraine’s output and 85 % in inflation. Remarkably, foreign monetary policy shocks
(both from the EU and Russia) account only for a tiny share of variance in all
Ukrainian macro variables. Finally, we show that the inclusion of Russia in the
‘foreign’ block is important to achieve correct model specification. Without
accounting for the effects of the Russian economy, Ukrainian variables over-react to
shocks originating from the EU. We conclude that the National Bank of Ukraine
should closely track external developments to achieve inflation targets.




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