№ 2011/2
Forecasting methods and models
LUKIANENKO I. 1, ZHOOK V. 2
1National University of "Kyiv-Mohyla Academy"
2National University of "Kyiv-Mohyla Academy"
The modeling of the impacts of the changes in monetary environments on the economic and financial development of transitional economies
Ekon. prognozuvannâ 2011; 2:130-151 | |
ABSTRACT ▼
Various approaches to the analysis of the impacts of the fluctuations of the exchange rates on the economic conditions of the developed countries and transitional economies are explored. The author proposes a multi-rate non-linear econometric model of modification of exchange rates applicable for the analysis of structural transfor-mations. The integration of such model into the dynamic pattern of Ukraine’s financial sector has enabled the scholar to examine how the economy reacts to the inner and outer shocks and fluctuations of the exchange rates
Keywords:
Article in Ukrainian (pp. 130 - 151) | Download | Downloads :369 |
REFERENCES ▼
1. Taylor J.B., The monetary transmission mechanism and the evaluation of monetary policy rules, Materialy konferentsii: Monetary Policy: Rules and Transmission Mechanisms, Central Bank of Chile, 1999, S. 2–27.
2. Rotemberg J.J, Woodford M., An optimizationbased econometric framework for the evaluation of monetary policy: expanded version NBER Technical working paper, 1998, № 233, S. 1–55.
3. Woodford M., Interest and Prices, Foundations of a Theory of Monetary Policy. Princeton: Princeton University Press, 2003, 800 s.
4. Tovar C.E., DSGE Models and Central Banks, Economics Ejournal, 2009, T. 3, S. 1–31.
5. Bernanke B., Gertler M., Gilchrist S,. Financial accelerator in a quantitative business cycle framework NBER working paper series, 1998, 6455, S. 158.
6. Clarida R., Gali J., Gertler M., The Science of Monetary Policy: A New Keynesian Perspective, Journal of Economic Literature, 1999, T. XXXVII, S. 1667–1707.
7. Christiano L.J., Eichenbaum M., Evans C.L., Nominal rigidities and the dynamic effects of a shock to monetary policy Journal of Political Economy, 2005, T. 113, № 1, S. 1–45.
8. Lucas R.E., Econometric policy evaluation: A critique Carnegie-Rochester Conference Series on Public Policy, 1976, S. 19–46.
9. Harrison R. ta in. The Bank of England Quarterly Model, London , Bank of England, 2005, 244 s.
10. Smets F, Wouters R., An estimated dynamic stochastic general equilibrium model of the eurodata, ECB woring papers, 2002, № 171, S. 4–33.
12. Geiets V.M, Skrypnychenko M.I, Sokolyk M.M., Sektoralni makromodeli prognozuvannia ekonomiky Ukrainy, Ekonomist, 1998, № 5, S. 58–67.
13. Luk’ianenko I.G., Dynamichni makroekonometrychni modeli. Novyy kontseptualnyy pidkhid, K. , VD "KM Akademiia", 2003, 50 s.
14. Sultan K, Luk’ianenko I.G, Gorodnichenko Yu.O., Metodologichni aspekty rozrobky ta praktychnogo zastosuvannia makroekonometrychnoi modeli Ukrainy, K. , Vydavnychyy dim "KM Academia", 2000, 204 s.
15. Skrypnychenko M.I., Prykladni aspekty formuvannia mizhkrainnykh modeley ekonomichnogo rozvytku, Ekonomika i prognozuvannia, 2005, № 1, S. 92–109.
16. Shumska S.S., Integralna otsinka monetarnogo zabezpechennia ekonomiky bankivskoiu systemoiu , Ekonomika: problemy teorii ta praktyky , zb. nauk. pr. Dnipropetrovsk , Dnipropetr. nats. unt, 2006, Vyp. 216, T. 2, S. 302–310.
18. Mishenko V.I., Petryk O.I., Somyk A.V., Lysenko R.S., Monetarnyy transmisiynyy mekhanizm v Ukraini:naukovoanalitychni materialy.Vyp. 9, K. , Tsentr naukovykh doslidzhen NBU Ukrainy, 2008, 144 s.
19. Petryk O, Sholomytskyy Yu., Dynamichni stokhastychni modeli zagalnoi rivnovagy: sutnist, dosvid vykorystannia v tsentralnykh bankakh, Bankivska sprava, 2007, № 4, S. 43–53.
20. Nikolaychuk S.A., Otsinka alternatyvnykh rezhymiv monetarnoi polityky na osnovi Kvartalnoi prognoznoi modeli Natsionalnogo banku Ukrainy, Ekonomist, 2007, № 11, S. 56–60.
21. Kapetanios G, Labhard V, Price S., Forecast combination and the Bank of England's suite of statistical forecasting models , Economic Modelling, 2008, T. 25, № 4, S. 772–792.
22. Dijk D.V, Franses P.H., Modelling Multiple Regimes in the Business Cycle, Macroeconomic Dynamics, 1999, T. 3, № 3, S. 311–340.
23. Dijk D, Terasvirta T, Franses P.H., Smooth transition autoregressive modelsA survey of recent developments, Econometric Institute Reseach Report, 2000, № EI200023 A, S. 3–41.
24. Eitrheim, Terasvirta T., Testing the adequacy of smooth transition autoregressive models Journal of Econometrics, 1996, T. 74, № 1, S. 59–75.
25. Terasvirta T, Dijk D.V, Medeiros M.C., Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A reexamination , International Journal of Forecasting, 2005, T. 21, № 4, S. 755774.
26. Medeiros M.C, Veiga A., A flexible coefficient smooth transition time series model, IEEE transactions on neural networks, A publication of the IEEE Neural Networks Council, 2005, T. 16, № 1, S. 97–113.
27. Matviychuk A.V., Shtuchnyy intelekt v ekonomitsi, neyronni merezhi, nechitka logika praktychnogo zastosuvannia makroekonometrychnoi modeli Ukrainy, K. , Vydavnychyy dim "KM Academia", 2000, 204 s.