Прогнозування реакції економіки України на економічні шоки в сусідніх державах: глобальна векторна авторегресійна модель «Україна-сусіди»

Matkovskyy, Roman (2012): Прогнозування реакції економіки України на економічні шоки в сусідніх державах: глобальна векторна авторегресійна модель «Україна-сусіди». Forthcoming in: Economy and Forecast

Abstract

In this article the approach of Global Vector-Autoregressive (GVAR) models has been applied to Ukraine and its neighbour-countries which contiguous to Ukraine: Belarus, Bulgaria, Georgia, Moldova, Romania, Poland, Slovakia, Russia Federation, Turkey and Hungary. The goal of the research is to identify and forecast interactions among these economies, estimate import-export flows, discover the mechanism of the response of Ukraine to inflation and unemployment shocks and also of the shocks transmission mechanism to Ukrainian economy.

• Item Type: MPRA Paper
• English Title: Forecasting the Responses of Ukraine to Economic Shocks in the Neighbour-Countries: Global Vector Autoregressive Model “Ukraine-Neighbours”
• Language: Ukrainian
• Keywords: global vector autoregressive model (GVAR), impulse response function, shocks transmission mechanism
• Subjects: C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; E - Macroeconomics and Monetary Economics > E0 - General > E00 - General; F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F47 - Forecasting and Simulation: Models and Applications

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