Models of analysis and forecasting of monetary policy parameters
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Дата
2020
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Анотація
An important prerequisite for the implementation of effective monetary
policy under the regime of inflation targeting is the ability of the central bank to predict
the basic parameters and to simulate different scenarios of monetary policy
development adequately. The study shows the results of the analysis conducted of the
advantages and disadvantages of existing approaches that solve the task of modeling
and forecasting monetary policy parameters. The results of this analysis testify to the
inability of the dominant approach to modeling and forecasting monetary policy
settings effectively to solve the set tasks. On the basis of quarterly information for 24
reporting periods (since 2014), a methodology for modeling the dynamics of the main
parameters of the NBU's monetary policy, which allows to identify the direction and
lag of cause and effect relationships between them were proposed. The developed
model includes 10 equations and 2 identities, which has 24 variables, including 12
endogenous, 8 exogenous and 4 auxiliary variables: trend and seasonal dummy
variables. Based on the model developed, calculated indicators of the tightness
connection factor of the variable with the result in each equation, namely the
coefficients of elasticity, the beta-coefficients and indirect beta-coefficients. Forecast
for the next six periods of such endogenous variables of the model developed as: NBU
discount rate, absolute increase of the consumer price index, real GDP per thousand
people, real exchange rate was calculated. The proposed methodology can form the
basis for supplementing the existing system of analysis, stress testing and forecasting
of the state regulatory center as well as interested organizations.
Опис
Kramar V. Models of analysis and forecasting of monetary policy parameters / V. Kramar ; supervisor A. Pilko // Black Sea Science 2020: proc. of the Intern. Competition of Student Scientific Works / Odessa National Academy of Food Technologies; eds. B. Yegorov, M. Mardar [et al.]. – Odessa: ONAFT, 2020. – P. 130–141 : tabl., fig. – Ref.: 24 tit.
Ключові слова
analysis, monetary policy, the discount rate, simultaneous model, macroeconomic model