New Issue of Visnyk of the National Bank of Ukraine: Impact of Communications on the FX market and Interest Rate Pass-Through
16:00 | National Bank of Ukraine
The NBU has published another issue of its peer-reviewed journal Visnyk of the National Bank of Ukraine.
Topics covered in the issue:
Impact of the Central Bank"s Communication on FX Market Dynamics
Tetiana Yukhymenko (VISA) and Oleh Sorochan (NBU) have analyzed in their paper the relationship between central bank communications and FX market dynamics. The results of the analysis suggest that the NBU’s statements and press releases on monetary policy issues can smooth the FX market’s response, as exchange rate volatility and movements correlate negatively with the volume of publications by the NBU on its official website.
However, the impact of the NBU’s communications on volatility is noticeably larger than on the direction of exchange rate changes.
Furthermore, the FX market has turned out to be more sensitive to monetary policy announcements than to the NBU’s overall updates.
Interest Rate Pass-Through in Ukraine: Estimates and Determinants
Nadiia Shapovalenko (NBU) and Artem Vdovychenko (NBU) have estimated the strength of long-run interest rate pass-through in Ukraine by applying an autoregressive distributed lag (ARDL) model.
The authors have obtained bank-level time-varying estimates of transmission and run a set of panel regressions to analyze the determinants of pass-through strength.
Apart from linear estimates, the paper analyzes asymmetries in the pass-through, which depend on changes in the interbank rate.
For reference
Visnyk of the National Bank of Ukraine is indexed by IDEAS/RePEc, DOAJ, and others.
Visnyk of the National Bank of Ukraine has been issued for the general public since September 2015.
The original language of the articles is English.
Ukrainian translations of the articles will be added later.
The judgements, conclusions, and ideas presented in the journal are those of the authors and do not necessarily reflect the views of the editorial board or the official position of the NBU.
The editorial board invites financial market experts and representatives of the banking and academic communities to contribute to the topics covered by the journal and send research materials for review and publication to: [email protected].
Authors can publish for free.
The NBU translates and edits the articles.
For more on publication requirements, please follow the link.