ВАЛЮТНИЙ КАНАЛ ТРАНСМІСІЙНОГО МЕХАНІЗМУ ГРОШОВО-КРЕДИТНОЇ ПОЛІТИКИ НБУ

Анотація

The essence of exchange rate channel of transmission mechanism of the monetary policy is considered. Pearson’s, Spearman’s, and Kendall’s correlation coefficients were applied to calculate the relationship between variables. It is emphasized that the exchange rate channel of the monetary policy transmission mechanism reflects its impact on output and price level due to changes in the exchange rate of the national currency. It is noted that the hryvnia devaluation has always been observed against the background of economic crises and declining exports. In all three cases of sharp devaluation, the crises were accompanied by a significant drop in exports of goods, which reduced the NBU's reserve assets.

In general, the NBU conducted interventions to counteract excessive fluctuations in the national currency exchange rate, selling currency during periods of devaluation and buying it during periods of revaluation. In addition, there is an inverse relationship between the discount rate and the official hryvnia exchange rate from January 2015 to October 2019. In other words, the higher the discount rate, the lower the USD price expressed in UAH is.

In addition, the Pearson’s correlation coefficients indicate a strengthening of the relationship between the official hryvnia exchange rate against the U.S dollar and the lagged discount rate. In other words, raising the interest rate in the current month will have a long-term impact on the value of the dollar, expressed in UAH. The strongest link between the discount rate and the official hryvnia exchange rate is in the first leg, with the link loosening in the next.

The values of the Kendall correlation coefficients show the same as the previous coefficients. First, the relationship between the official hryvnia exchange rate against the U.S dollar and lag  values of  discount rate is increasing. Second, similarly, the relationship between the USD/UAH exchange rate and the interbank lending rate is increasing. Third, the link between the CPI lag values and the official hryvnia exchange rate is increasing. Fourth, the relationship between the hryvnia against the US dollar and the NBU's interventions is insignificant. Fifth, there is a link between rising exports and the devaluation of the hryvnia against the US dollar.

Keywords: exchange rate, transmission mechanism, monetary policy, exchange rate channel, discount rate.