Exchange-rate pass-through in Ukraine / Victor Shevchuk // W: The 14th Professor Aleksander Zeliaś International Conference on Modelling and Forecasting of Socio-Economic Phenomena, 2020, Zakopane, Poland. ... więcej

Exchange-rate pass-through in Ukraine / Victor Shevchuk // W: The 14th Professor Aleksander Zeliaś International Conference on Modelling and Forecasting of Socio-Economic Phenomena, 2020, Zakopane, Poland. Vol. 1 [Dokument elektroniczny] / ed. by Monika Papież, Sławomir Śmiech. – Kraków : Wydawnictwo Małopolskiej Szkoły Administracji Publicznej Uniwersytetu Ekonomicznego w Krakowie, 2020. – S. 135-144 : tab., wykr. – Tryb dostępu: http://pliki.konferencjazakopianska.pl/proceedings_2020/pdf/2020_Monografia-14.pdf. – Bibliogr. s. 144, Abstr. – Mat. konf.: The 14th Professor Aleksander Zeliaś..., Zakopane, Poland, 10-13.05.2021. – ISBN 978-83-89410-24-5 (PDF)

The paper provides estimates of the exchange rate pass-through (ERPT) to consumer prices for Ukraine. Using a five-variable VECM (vector error correction model), including the nominal effective exchange ... więcej

The paper provides estimates of the exchange rate pass-through (ERPT) to consumer prices for Ukraine. Using a five-variable VECM (vector error correction model), including the nominal effective exchange rate, consumer prices, terms of trade, the central bank reference rate and output) for the quarterly data of 2002-2019, it has been shown that the long-term ERPT to consumer prices is likely to decrease since the switch to a floating exchange rate regime in 2014. However, it seems to be just the opposite for the short-term estimates of ERPT. As suggested by the forecast error variance decomposition (FEVD), the fraction of exchange rate in the changes of consumer prices is dependent on the ordering of impulse responses, being within the range of 10 to 40%. Regardless of the ordering scheme and data sample used, it is found that the depreciation of a nominal exchange rate has a contractionary effect on output, being in line with the guidelines of a simple AD-AS model with rational expectations. Among other results, the central bank reference rate is increased in response to an exchange rate depreciation, thus offsetting a currency shock. Somewhat surprisingly, the estimates for a shorter 2010-2019 sample reveal that improvement of terms of trade leads to exchange rate depreciation on impact.