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Shevchuk Victor (Cracow University of Technology, Poland)
The Real and Nominal Effects of Large Devaluations in Ukraine
Realne i nominalne efekty dużych dewaluacji kursu walutowego na Ukrainie
Argumenta Oeconomica Cracoviensia, 2016, no 14, s. 97-118, rys., tab., bibliogr. 24 poz.
Kurs walutowy, Handel zagraniczny, Inflacja, Filtry Kalmana
Exchange rates, Foreign trade, Inflation, Kalman filters
summ., streszcz.
This paper is part of research project F-4/30/2014/DS. The financial support provided by the Cracow University of Technology is gratefully acknowledged
Wykorzystując dane miesięczne z okresu 2000-2014, oszacowano efekty makroekonomiczne dużych dewaluacji waluty ukraińskiej. Stosując podejście ze zmiennymi współczynnikami, zademonstrowano, że nominalna dewaluacja kursu walutowego powoduje standardowy wzrost wartości eksportu oraz zmniejszenie wartości importu, przyspieszenie inflacji oraz zmniejszenie wartości produkcji przemysłowej (od 2014 r.). Gwałtowne załamanie kursu walutowego jest jednak inflacyjne i powoduje zmniejszenie wartości eksportu, importu, produkcji przemysłowej i handlu detalicznego. Eksport zwiększa się w przypadku wyższych światowych cen surowców, a także produkcji przemysłowej za granicą. Od czasu światowego kryzysu finansowego z lat 2008-2009 produkcja przemysłowa jest mocniej uzależniona od sektora przemysłowego największych krajów będących partnerami handlowymi. (abstrakt oryginalny)

Using monthly data for the 2000-14 period, this paper discusses the macroeconomic effects of large devaluations in Ukraine. Employing a time-varying parameter framework, the author shows that a nominal devaluation in "normal" times is associated with an increase in exports and a decrease in imports, an acceleration in consumption price inflation, and a contraction in industrial output (since 2014). However, a currency collapse is likely to be inflationary and contractionary in respect of exports, imports, industrial output, and retail trade turnover. The author shows that export dynamics is stimulated by higher world commodity prices and industrial growth abroad. Since the 2008-09 financial crisis, industrial output has become more strongly linked to the performance of the largest foreign trade partners. (original abstract)
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Full text
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