Modeling the cost of government debt
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Date
2023
Authors
Lepekha, Kateryna
Slaviuk, Nataliia
Journal Title
Journal ISSN
Volume Title
Publisher
Kyiv-Mohyla Academy Publishing House
Abstract
To build the model, monthly data from January 2016 to March 2023 were
used, including the central bank rate, weighted average yield on government bonds, average rates on loans and deposits, as well as the spread between interest rates on hryvnia and foreign currency deposits. As far as the inflation targeting regime was implemented in 2015, the effect of changes in the base rate started influencing other financial market rates through the transmission mechanism from 2016. Before, the rates were relatively weakly correlated. The first step in determining the model's specification involves checking the time series for stationarity. All-time series, except for the new deposit rate, are stationary in the first differences, while the deposit rate is stationary in the second differences.
Description
Keywords
financial market, deposit rate, VAR model specification, impulse response, bonds, monograph section
Citation
Lepekha K. Modeling the cost of government debt / [Lepekha Kateryna, Slaviuk Nataliia] // Financial Policy of Ukraine for the Maintenance of Macroeconomic Stability : the collective monograph / [Lukianenko I., Galytska E., Primierova O. et al. ; general editor Lukianenko I.] ; National University of Kyiv-Mohyla Academy. - Kyiv : Kyiv-Mohyla Academy Publishing House, 2023. - Chapter 6.3. - Р. 261-267.