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Title Ukrainian hryvnia under the floating exchange rate regime: diagnostics of the USD/UAH exchange rate dynamics
Other Titles Українська гривня в умовах режиму плаваючого курсу: діагностика динаміки курсу долара до гривні
Authors Ignatyuk, A.
Osetskyi, V.
Makarenko, Mykhailo Illich
Artemenko, Alina Serhiivna
Keywords external shocks
foreign exchange rate
foreign exchange regime
market efficiency
random walk
Type Article
Date of Issue 2020
Publisher Businness Perspectives
License Creative Commons Attribution 4.0 International License
Citation Anzhela Ignatyuk, Valerii Osetskyi, Mykhaylo Makarenko and Alina Artemenko (2020). Ukrainian hryvnia under the floating exchange rate regime: diagnostics of the USD/UAH exchange rate dynamics. Banks and Bank Systems, 15(3), 129-146. doi:10.21511/bbs.15(3).2020.12
Abstract The study identifies the features of the USD/UAH exchange rate dynamics for the period from January 2014 to May 2020. The main purpose of the empirical analysis is to determine the current trend of the USD/UAH exchange rate (is it random or permanent), indicate the presence of seasonality in foreign exchange rate dynamics and evaluate its sensitivity to external shocks. Three hypotheses are tested using several methods of time series analysis (autocorrelation analysis, ADF, Phillips-Perron and Granger tests), including a trend-season model using a time series of one variable (ARMA), a multifactor VAR-model, impulse functions. The results show that, the movement of the hryvnia exchange rate against the US dollar is a stochastic process. Its trend has a random component and tends to change sharply over time. Moreover, exchange rate fluctuations are seasonal. It depreciates in the first and second quarters, and strengthens in the third and fourth. Some macroeconomic indicators cause a positive or negative reaction of the USD/UAH exchange rate. This indicates that today the Ukrainian foreign exchange market is relatively efficient, but stable, since its reaction to external shocks is short-term, insignificant and tends to fade out. Although the findings are controversial, they support the generally accepted view that the exchange rate formation is a multifactorial process that depends on several macroeconomic factors. However, high volatility and random walk specification indicate that it is almost impossible to predict its future value at this time.
Appears in Collections: Наукові видання (ННІ БіЕМ)


Ukraine Ukraine


Ukraine Ukraine


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