Modeling the cost of government debt

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dc.contributor.authorLepekha, Kateryna
dc.contributor.authorSlaviuk, Nataliia
dc.date.accessioned2024-10-16T06:18:21Z
dc.date.available2024-10-16T06:18:21Z
dc.date.issued2023
dc.description.abstractTo 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.en_US
dc.identifier.citationLepekha 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.en_US
dc.identifier.isbn978-966-518-849-0
dc.identifier.urihttps://ekmair.ukma.edu.ua/handle/123456789/31863
dc.language.isoenen_US
dc.publisherKyiv-Mohyla Academy Publishing Houseen_US
dc.relation.sourceFinancial Policy of Ukraine for the Maintenance of Macroeconomic Stability : the collective monographen_US
dc.statusfirst publisheden_US
dc.subjectfinancial marketen_US
dc.subjectdeposit rateen_US
dc.subjectVAR model specificationen_US
dc.subjectimpulse responseen_US
dc.subjectbondsen_US
dc.subjectmonograph sectionen_US
dc.titleModeling the cost of government debten_US
dc.typeBook chapteren_US
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