ANALYSIS MODELS OF RELATIONSHIPS BETWEEN MACROECONOMIC INDICATORS AND STATE DEBT INDICATORS
Abstract
The publication highlights the results of the conducted research aimed at the formation of models for the analysis of macroeconomic indicators, which determine the key parameters of the state's debt policy in their interrelationship and interdependence. The study of the existing basic models of debt policy formation proved the limited possibilities of their effective application in the process of public debt management in Ukraine in modern conditions. The analysis of statistical information, as well as the use of econometric analysis methods, allowed us to propose a possible approach to solving the problem of assessing the nature of the relationship between macroeconomic indicators and parameters of the state's debt and monetary policy. The construction of a simulative model based on the formed information base, reflecting the main relationships between endogenous and exogenous variables that determine the prerequisites for the formation of the components of the state debt, as well as describing the patterns of changes in the values of macroeconomic indicators, made it possible to track the direction and nature of the cause-and-effect relationships between endogenous and exogenous variables in the context of analysis and forecasting of indicators of internal and external public debt and forecasting of debt policy parameters. A vector autoregressive model was developed to supplement the results obtained using the simulative model. The analysis of macroeconomic indicators proved that the application of the classical vector autoregressive model gives slightly better results than the application of the structural econometric model in the context of solving the problem of developing a toolkit for analysis and modeling of factors that determine the patterns and trends of the formation of the national debt of Ukraine. On the basis of the developed and researched models, it can be stated that the change in the size of the internal state debt is determined by the influence of monetary policy parameters, as well as the external debt, the amount of gold and foreign exchange reserves, the average annual reported yield of the OVDP, the balance of payments and the deficit of the consolidated budget. The conducted econometric analysis of the formed models showed the presence of statistically significant parameter estimates for variables that correspond to monetary indicators in each of the equations, which confirms the existence of a significant influence of monetary policy on the formation of domestic debt.
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