|Title||Ukrainian hryvnia under the floating exchange rate regime: diagnostics of the USD/UAH exchange rate dynamics|
Українська гривня в умовах режиму плаваючого курсу: діагностика динаміки курсу долара до гривні
Makarenko, Mykhailo Illich
Artemenko, Alina Serhiivna
foreign exchange rate
foreign exchange regime
|Date of Issue||2020|
|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|
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.
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Наукові видання (ННІ БіЕМ)
|BBS_2020_03_Ignatyuk.pdf||1,47 MB||Adobe PDF||23|
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