Work detail

Monetary Transmission Mechanism in Ukraine on its Way to Inflation Targeting Regime Implementation

Author: Mgr. Natalia Shepel
Year: 2012 - summer
Leaders: prof. Roman Horváth Ph.D.
Consultants:
Work type: Finance, Financial Markets and Banking
Masters
Language: English
Pages: 57
Awards and prizes:
Link:
Abstract: This thesis investigates the role of the exchange rate and interest rate channels in
the monetary transmission mechanism in Ukraine. The responses on the domestic
as well as Russian economy shocks are estimated using the Vector Autoregression
Model with block-exogeneity restriction. Monetary transmission did not prove to
be strongly e ective via neither of the estimated channels, although the exchange
rate channel demonstrates the results which are more in line with the economic
theory. In addition, the exchange rate channel shows the higher and more signi cant
pass through. Further, we estimate the importance of the shocks of both home and
foreign economies for the domestic variables deviations using variance decomposition
technique. The relevance of the Russian shocks in
uctuations of home variables is
found out. The current estimation of the transmission mechanism is relevant due
to the planned in
ation targeting regime implementation in Ukraine which requires
understanding of that processes in the economy.
Downloadable: DT Shepel

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