Modelling the Impact of External Shocks on Economy of Ukraine: Dsge Approach

Open access

Abstract

The paper explores the dynamic stochastic general equilibrium model to study the impact of external shocks on the economy of Ukraine. The dynamic stochastic general equilibrium model is constructed for a small open economy that includes households, firms (domestic manufacturers and importers), government, the National Bank and external sector. The model assumes the new-Keynesian approach that includes the socalled “rigidities” of prices and wages, the existence of the households’ consumption habits and investments with adjustment costs. Also, it takes into account the country’s significant dependence on mineral products imports. All goods in the economy are divided into the domestic ones (that are exported and consumed in the country), imports and mineral products. So the purpose of the model is to study the impact of external shocks on the economy of Ukraine, such as a positive shock in world output, a positive shock in the world aggregate demand, a positive shock in the world interest rate, and a positive shock in world prices.

If the inline PDF is not rendering correctly, you can download the PDF file here.

  • Barnett A. Straub R. (2008). What drives U.S. Current Account Fluctuations? European Central Bank. Working Paper Series №959. Retrieved from: https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp959.pdf?95304f44ec997b65b9926870e18c376d

  • Bazhenova О. (2014). Teoretychni ta praktychni aspekty vplyvu inozemnogo kapitalu na volatylnist ekonomichnogo zrostannya v Ukrayni. Ekonomika ta derzhava №11 p. 36-40.

  • Bazhenova Yu. (2009). Modeluvannya vplyviv monetarnoyi ta fiskalnoyi polityk na makroekonomichnu stabilnist derzhavy. PhD thesis.

  • Bernanke B. Gertler M. S.Gilhrist (1998). The Financial Accelerator in a Quantitative Business Cycle Framework. NBER Working Paper Series №6455. Retrieved from: http://www.nber.org/papers/w6455.

  • Blanchard O.J. Gali J. (2010). The Macroeconomic Effects of Oil Price Shocks: Why are the 2000s so different from the 1970s? Retrieved from: http://www.nber.org/chapters/c0517.pdf

  • Burda М. Wyplosh C. (1997). Makroekonomika: Evropeyskiy Tekst. SPetersburg Sudostroyenie 544 p.

  • Calvo G. (1983). Staggered Prices in a Utility Maximizing Framework. Journal of Monetary Economics Vol. 12 (3) p. 383-398.

  • Cantore C. Vasco J.G. Levine P. Pearlman J. Yang B. (2013). The Science and Art of DSGE Modelling: I - Construction and Bayesian Estimation. In Handbook of Research Methods and Applications in Empirical Macroeconomics edited by N.Hashimzade and M.A.Thornton 614 p.

  • Christiano L.J. Eichenbaum M. Evans C. (2005). Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy. Journal of Political Economy 2005 vol. 113 no. 1. p. 1-45.

  • Clarida R. Gali J. Gertler M. (1999). The Science of Monetary Policy: A New Keynesian Perspective. Journal of Economic Literature Vol. XXXVII (December 1999) p. 1661-1707.

  • Clarida R. Gali J. Gertler M. (2001). Optimal Monetary Policy in Closed Versus Open Economies: An Integrated Approach. NBER Working Paper Series №8604. Retrieved from: http://www.nber.org/papers/w8604.

  • Del Negro M. Schorfheide F. (2002). Priors from General Equilibrium Models for VARs: Forecasting and Identification mimeo Federal Reserve Bank of Atlanta and University of Pennsylvania.

  • Del Negro M. Schorfheide F. (2008). Forming Proirs to DSGE Models (And How It Affects the Assessment of Nominal Rigidities). NBER Working Paper Series №13741. Retrieved from: http://www.nber.org/papers/w13741.

  • Dixit A. Stiglitz J. (1977). Monopolistic competition and optimum product diversity. The American Economic Review № 67 (3) p. 297-308.

  • Erceg C.J. Henderson D.W. Levin A.T. (2000). Optimal monetary policy with staggered wage and price contracts. Journal of Monetary Economics 46 p. 281-313.

  • Fernández-Villaverde J. (2009). The Econometrics of DSGE Models. NBER Working Paper Series №14677. Retrieved from: http://www.nber.org/papers/w14677.

  • Gali J. Monacelli T. (2005). Monetary Policy and Exchange Rate Volatility in a Small Open Economy. Review of Economic Studies 72 p. 707-734.

  • IMF eLibrary Data. Retrieved from: http://data.imf.org/TimeSeries?key=61017699

  • Jaaskela J. Jennings D. (2010). Monetary Policy and the Exchange Rate: Evaluation of VAR Models. Retrieved from: http://www.rba.gov.au/publications/rdp/2010/pdf/rdp2010-07.pdf

  • Kumhof M. Laxton D. Muir D. Mursula S. (2010). The Global Integrated Monetary and Fiscal Model (GIMF) - Theoretical Structure. IMF Working Paper WP 10/34. Retrieved from: http://web.stanford.edu/~kumhof/gimfwp1034.pdf

  • Kydland F.E. Prescott E.C. (1977). Rules rather than Discretion: the Inconsistency of Optimal Plans. Journal of Political Economy Vol.85 p. 473-491.

  • Kydland F.E. Prescott E.C. (1982). Time to Build and Aggregate Fluctuations. Econometrica Volume 50 Issue 6 p.1345-1370. Retrieved from: https://www.minneapolisfed.org/research/prescott/papers/timetobuild.pdf

  • Lama R. Medina J.P. (2012). Is Exchange Rate Stabilization an Appropriate Cure for the Dutch Disease? International Journal of Central Banking № 8 (1) p. 5-46.

  • Leduc S. Sill K. (2004). A Quantitative Analysis of Oil-price Shocks Systematic Monetary Policy and Economic Downturns. Journal of Monetary Economics 51(4) p.781-808.

  • Lucas R. (1976). Econometric Policy Evaluation: A Critique. The Phillips Curve and Labour Markets Brunner K. Meltzer A. New York American Elsevier vol.1 p. 19-46. Retrieved from: http://people.sabanciuniv.edu/atilgan/FE500_Fall2013/2Nov2013_CevdetAkcay/LucasCritique_1976.pdf

  • Lukianenko I. Semko R. (2010). Osoblyvosti Pobudovy Dynamichnoyi Stohastychnoyi Modeli Zagalnoiy Rivnovagy dlya Analizu Ekonomiky Ukrayny. Ekonomichna Kibernetyka №4 6 (64-66) p. 48-59.

  • Lukianenko I. Semko R. (2015). Dynamichni Stohastychni Modeli Zagalnoiy Rivnovagy: Teoriya Pobudovy ta Praktyka Vykorystannya u Finansivyh Doslidzhennyah. Kyiv NAUKMA 246 p.

  • Marion N.P. (1981). Anticipated and Unanticipated Oil Price Increases and the Current Account. NBER Working Paper 759. Retrieved from: http://www.nber.org/papers/w0759.pdf

  • Methodological Comment to the Statistics of the External Sector in Ukraine (2009). Retrieved from: http://www.bank.gov.ua/doccatalog/document?id=4703286

  • Muth J.F. (1961). Rational Expectations and the Theory of Price Movements. Econometrica Vol.29 No.3 p. 315-335.

  • Polbin A. (2013). Postroenie Dinamicheskoy Stohasticheskoy Modeli Obschego Ravnovesiya dlya Ekonomiki s Vysokoy Zavisimostuy ot Eksporta Nefti. Retrieved from: http://library.hse.ru/eresources/HSE_economic_journal/articles/17_02_07.pdf

  • Polovnyov Yu. Andruschenkov A. (2008). Vyznachennya Chynnykiv Dynamiky Realnogo Obminnogo Kursu Hryvni. Visnyk Natsionalnogo banku Ukrayny № 5 p. 24-27.

  • Rotemberg J.J. Woodford M. (1997) An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy. Retrieved from: http://www.nber.org/chapters/c11041.pdf

  • Semko R. (2011). Bayesian Estimation of Small-scale DSGE Model of the Ukrainian Economy Retrieved from: http://mpra.ub.uni-muenchen.de/35215/1/MPRA_paper_35215.pdf

  • Shulgin A. (2013). Otsenka pravil monetarnoy politiki v ramkah DSGE modeli ekonomiki Rossii. Retrieved from: http://www.iep.ru/files/news/Shulgin.pdf

  • Smets F. Wouters R. (2002) An Estimated Stochastic Dynamic General Equilibrium Model of the Euro Area. European Central Bank Working Paper 171. Retrieved from: https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp171.pdf

  • Vasylenko Yu. Bazhenova O. (2014). A Causal Macroeconomic Model of Devaluation and Inflation Impact on the Economy of Ukraine. Ekonomika 93(1) p. 57-73.

Search
Journal information
Metrics
All Time Past Year Past 30 Days
Abstract Views 0 0 0
Full Text Views 170 117 19
PDF Downloads 123 86 10