The publication is concerned with highlighting the results of the carried out analysis of the existing practice of developing macroeconomic models directed towards determining the main parameters of monetary policy of central banks, as well as assessing their impact on the indicators of financial stability of the banking system. Given the low efficiency of the traditional approaches to the formation of the monetary rule both in countries with developed market economies and in countries with small open economies (in particular, Taylor rule), possible ways to solve this problem are proposed taking into account the existing experience in shaping monetary policy parameters in the context of inflation targeting, which is already available at the NBU. The strengths and weaknesses of the main approaches to the modeling of the monetary transmission mechanism, as well as the forecasting of its impact on the financial stability of the banking system, which are used in the formation of basic and auxiliary models of the central bank, are analyzed. Particular attention is paid to structural econometric models, vector autoregression models and dynamic stochastic models of general equilibrium. As a result, a possible variant for developing an approach to macroeconomic modeling is proposed, in the framework of which assessment and analysis of the impact of monetary policy on the indicators of financial stability of the banking system is envisaged. The practical implementation of this approach makes it possible to develop models for assessing and analyzing the efficiency of the current monetary policy, projecting macroeconomic development scenarios in the short and medium term, which will both directly and indirectly determine the indicators of financial stability of the banking system.
Пілько А. Д., Крамар В. Р. Модель формування параметрів монетарної політики У публікації висвітлено результати проведеного аналізу існуючих західних і вітчизняних макроекономічних моделей, які є основою визначення основних параметрів монетарної політики центральних банків відповідних країн. Вивчення існуючих підходів до формування монетарних правил центральних банків як країн з розвинутою ринковою економікою, так і країн з ринком, що формується, засвідчило обмежені можливості ефективного застосування класичного правила Дж. Тейлора та його модифікацій для формування монетарної політики НБУ. Проведений аналіз макроекономічних показників, а також використання методів економетричного аналізу дозволили запропонувати можливий підхід до вирішення задачі формування монетарного правила та розробки моделі формування поведінки НБУ щодо регулювання основних макроекономічних показників та встановлення облікової ставки. Побудова на основі квартальної інформації за 15 звітних періодів симультативної моделі, що відображає основні взаємозв'язки між ендогенними та екзогенними змінними, котрі визначають правило монетарної політики НБУ, дозволила відслідкувати напрям і характер причинно-наслідкових зв'язків між основними макроекономічними параметрами в контексті визначення облікової ставки НБУ. Розраховані прогнозні значення ендогенних змінних розробленої моделі, а саме: зведеного балансу, валютного курсу, реального ВВП, реальної заробітної плати, облікової ставки НБУ, обсягів споживчого кредитування та індексу споживчих цін, дозволили ідентифікувати керовані тенденції зміни значень даних показників і аналізувати можливі сценарії розвитку макроекономічної ситуації. Практичне застосування запропонованого підходу (в процесі аналізу можливих сценаріїв розвитку ключових параметрів монетарної політики та розрахунків прогнозних значень облікової ставки, індексу споживчих цін та інших взаємопов'язаних макропоказників з проведенням відповідних модельних розрахунків, розробки структурованої багатосекторальної моделі та врахування ймовірних лагових ефектів зміни економічних умов і впливу якісних чинників на макропоказники) потенційно дозволить якісно по-новому підійти до формування механізмів аналізу та прогнозування монетарної політики України.
Households, firms, and financial market participants adjust their behavior according to their own expectations about future price increases. Inflation expectations often lead to higher actual prices. Accordingly, inflation expectations are characterized by self-fulfilling and they are one of the factors influencing the future level of inflation. It is important for central banks to monitor inflation expectations and shape them in the desired way through their activities and communications through the monetary transmission expectations channel. Therefore, empirical conclusions about the inflation expectations of agents are significant and relevant for monetary policy. This paper presents the results of the analysis of existing types of models for the analysis of inflation expectations with the subsequent implementation of individual models on the data of inflation expectations, which are monitored by the NBU. Particular attention is paid to the analysis of models of inflation anchoring, models of assessment of rationality and shift of inflation expectations, as well as models of forecasting inflation expectations. The use of applied econometric tools allowed to obtain competitive science-based results. In particular, the calculations showed that the highest sensitivity to inflation among all groups of respondents is shown by households, and the least sensitive according to the results of the model are inflation expectations of financial analysts. The developed forecast models have acceptable forecasting properties and can be used to forecast inflation expectations. The analysis showed that the degree of anchoring of inflation expectations at the level of the Central Bank's inflation target determines the effectiveness of monetary transmission through the expectations channel, and reflects the level of confidence of economic agents in monetary policy. In the absence of trust in the Central Bank, inflation expectations can be adaptive, i.e. those that are formed under the influence of past inflation. Under such conditions, the effectiveness of the transmission mechanism of monetary policy weakens, and current inflation, due to deteriorating expectations, becomes more sensitive to the effects of various shocks. On the basis of the analyzed literature the main directions of research of inflation expectations, and also the basic approaches to construction of models of the analysis of inflation expectations are presented.
Central banks in emerging markets countries are actively improving existing and introducing new monetary policy instruments. An urgent task is to study the experience of applying asset repurchase programs by central banks of those countries where full-scale hostilities took place with the occupation of part of the sovereign territory, as well as significant infrastructure damage with further significant reduction of key macroeconomic indicators. This article is devoted to highlighting the results of research aimed at studying the experience of asset repurchase programs by central banks in emerging markets countries with a focus on developing practical recommendations for monetary policy management for the national regulator in modern conditions. The conditions under which it would be more attractive for the central bank to start an asset repurchase program than to use standard instruments have been specified. The peculiarities of the application of asset repurchase programs in countries with developed market economies and in countries with emerging markets are revealed. It is justified why APP programs in emerging markets are smaller in scale and duration. The main channels of APP transmission are analyzed. It has been shown that the impact and effectiveness of each channel can vary from country to country depending on these factors. Structural factors and the degree of APP sterilization play an important role in the effectiveness of the channels. The article identifies key factors that determine the risks associated with the effectiveness of APP in emerging markets. It is proved that for the effective application of APP in the realities of Ukrainian economy it is necessary to promote the further development of the financial market. Achieving a long period of price stability and increasing confidence in the central bank will only help increase the efficiency of APP. Prospective directions of increasing the efficiency of asset repurchase programs are outlined, taking into account some specific features of the current macroeconomic situation in Ukraine. The obtained results potentially will improve the management of the processes of evaluation and analysis of the effectiveness of the use of unconventional monetary policy instruments, as well as the evaluation of the effectiveness of the use of monetary levers of the macro-financial stabilization mechanism.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.
hi@scite.ai
10624 S. Eastern Ave., Ste. A-614
Henderson, NV 89052, USA
Copyright © 2024 scite LLC. All rights reserved.
Made with 💙 for researchers
Part of the Research Solutions Family.