State debt assessment and forecasting: time series analysis

Zhuravka, Fedir; Filatova, Hanna; Šuleř, Petr; Wołowiec, Tomasz

doi:10.21511/imfi.18(1).2021.06

Cited by 31 publications

(15 citation statements)

References 14 publications

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“…The existence of signs of chaos is noted in other processes of public finance. For example, Zhuravka et al (2021), studying the dynamics of public debt in Ukraine, confirmed a high level of fractal similarity (Hirst index is 0.74) and "long memory" of data series that was then used for further forecasting. Therefore, it makes sense to use some elements of the chaos theory in the study of dynamics of tax revenues and their forecasting.…”

Section: Literature Reviewmentioning

confidence: 91%

Dynamics of tax revenues in the budget of Ukraine and their forecast during the crisis period

Skorba

Pasko

Бабенко-Левада

et al. 2021

Public and Municipal Finance

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It is extremely important for the budget process to obtain accurate forecasts of potential tax revenues, especially in periods of disruption and crisis. The paper is devoted to the study of dynamics of tax revenues’ volumes in the budget of Ukraine and the forecast of their values during the crisis.The dynamics of tax revenues in the Consolidated Budget of Ukraine, studied by using randomized R|S-analysis, fractal and probabilistic analyses as well as entropy calculation based on the data on monthly tax revenues for the period 2011–2021, is anti-persistent, fractal-like and unpredictable based on parametric dependencies, simple and complex trends. The topological dimension of the lines of dynamics for tax revenues of all types of taxes is much higher than 1, and the Hirst index indicates either fractal similarity of dynamics or its chaos. The map of dissipation periods of tax revenues in Ukraine, determined on the basis of entropy calculation and periods of negative entropy production according to the dynamics of tax revenues, coincided with the periods of maximum reduction in their volumes. The most crisis periods in the formation of tax revenues are 2019–2020, for certain types of taxes – 2016–2020, but the dissipation of tax revenues is projected for 2021–2022.The comparison of the level of fractal similarity in dynamics of the volume of tax revenues and peculiarities of the dynamics of entropy and entropy production, allowed to substantiate the division of taxes into nine types, of which five were found in Ukraine.

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Section: Literature Reviewmentioning

confidence: 91%

Dynamics of tax revenues in the budget of Ukraine and their forecast during the crisis period

Skorba

Pasko

Бабенко-Левада

et al. 2021

Public and Municipal Finance

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“…The role of public finance in ensuring the financial system's effective development and formation of stability are considered in the work of Zhuravka et al (2018). In their further study, Zhuravka et al (2021) noted that an excessive increase in public debt has negative consequences for the financial system of any country, as evidenced by the use of the ARIMA model in analyzing data on public debt in Ukraine for the period of 2004-2020. The obtained results showed an unstable debt situation, a significant increase in public debt in the last 6 years and justified the need to increase the efficiency of public debt management in the context of financial stability.…”

Section: Literature Reviewmentioning

confidence: 99%

Modeling of the financial system?s stability on the example of Ukraine

Shkolnyk

Kozmenko

et al. 2021

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Research background: Financial stability is one of the key tasks in the functioning of the country?s financial system. National financial systems have significant differences in the level of their development, structure and approaches to regulation. There are no uniform world standards for methods and indicators of assessing financial stability. International financial institutions, including the International Monetary Fund, only outline certain areas and offer an indicative list of indicators that should be taken into account. Purpose of the article: Taking into account the peculiarities of the subject and object structure of Ukraine?s financial system, this study formed groups of indicators that reflect the state of financial depth, level of access and efficiency of the financial system, systematized by subject (financial institutions) and object financial markets) characteristics. Methods: The basis for the formation of a set of indicators is a matrix of characteristics of the financial system?s stability, which is formed according to the principle of 4x2 proposed by experts of the International Monetary Fund. The list of indicators to calculate the integrated indicator that characterizes the stability of the financial system of Ukraine, covers the period 2007?2019 and includes 29 indicators that take into account the peculiarities of its formation and development. Harrington?s desirability function is used to determine the integrated indicator that characterizes the state of financial stability. Findings & value added: The intermediate calculations obtained by modeling groups of indicators showed that the level of access to the financial system and the state of its depth are balanced during the study period (the range of variation of integrated indicators for these groups is minimal ? from 0.1 to 0.18), is at a satisfactory level and the basis for ensuring the financial system?s stability. Conversely, the efficiency of the financial system is low, and characterized by a high degree of volatility (range of variation ? 0.51). The obtained integrated indicator, which is in the range from 0.41 to 0.54 on the Harrington desirability scale, makes it possible to assess the state of the financial system?s stability in Ukraine as satisfactory, but with a high level of sensitivity to both external and internal shocks.

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“…And the small weight of this indicator once again proves the need for business access to credit resources, as the interest paid by businesses to banks does not significantly affect the amount of budget revenues; 6. weighted average tariff rate on imports -despite the fact that in recent years the value of this indicator has been systematically decreasing, yet, as the results of the analysis showed, the duty rate is crucial in the formation of government revenues (Martyniuk 2011;Zhuravka, Filatova, Šuleř, and Wołowiec 2021).…”

Section: Planning and Forecasting Customs Revenues To The State Budgetmentioning

confidence: 99%

Planning and Forecasting Customs Revenues to the State Budget: A Case Study of Ukraine

Martyniuk¹,

Wołowiec²,

Mieszajkina³

2021

ERSJ

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The paper aims at the studying of the planning and forecasting process, as well as the formation of a dynamic model of customs revenues to the state budget on the example of Ukraine. Design/Methodology/Approach: The methodology of the regression data analysis was used to assess the receipt of customs payments to the budget. The parameters of the regression models are selected by the Least Squares Method. To assess the significance of the regression parameters, their variances and the covariance matrix, the diagonal elements of which are the variance parameters, are calculated. Along with the linear and power model, the Brandon model is considered. The adequacy of the model for forecasting customs revenues was assessed using the coefficient of determination. Findings: Factor analysis by the method of main components allowed us to conclude that the size of tax revenues to the state budget is most influenced by two main components, monetary and macroeconomic. Multifactor regression analysis and multiple processing of statistical data resulted in finding that it is the volume of imports and the national currency that have the greatest impact on the amount of taxes and fees to the state budget. Inflationary processes are not significant, but still affect the amount of tax revenues to the state budget, which makes it possible to increase the accumulation of taxes and fees to the budget by raising prices. Practical Implications: Experiments on forecasting the receipt of taxes and fees to the budget using a dynamic model confirmed its good predictive properties and enabled us to recommend the application of the proposed dynamic model in the practice of customs and tax authorities in their planning of tax proceeds to the state budget. Originality/Value: The results of the study reflect the applicability and effectiveness of the proposed dynamic model. Consequently, the dynamic model of planning and forecasting the customs revenues to the budget may constitute an alternative to the existing models.

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State debt assessment and forecasting: time series analysis

Cited by 31 publications

References 14 publications

Dynamics of tax revenues in the budget of Ukraine and their forecast during the crisis period

Dynamics of tax revenues in the budget of Ukraine and their forecast during the crisis period

Modeling of the financial system?s stability on the example of Ukraine

Planning and Forecasting Customs Revenues to the State Budget: A Case Study of Ukraine

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