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Kalman Filter in the Problem of the Exchange and the Inflation Rates Adequacy to Determining Factors

Author

Listed:
  • N. S. Gonchar

    (The N. N. Bogolubov Institute for Theoretical Physics, Kiev, Ukraine)

  • W. H. Kozyrski

    (The N. N. Bogolubov Institute for Theoretical Physics, Kiev, Ukraine)

  • A. S. Zhokhin

    (The N. N. Bogolubov Institute for Theoretical Physics, Kiev, Ukraine)

  • O. P. Dovzhyk

    (The N. N. Bogolubov Institute for Theoretical Physics, Kiev, Ukraine)

Abstract

Using introduced concept of the exchange and inflation rates adequacy, the relevance of them to the determining factors is found. We established close positive relation between hryvnia / dollar exchange and inflation rates, fiscal deficit, price level of energy sources, and money supply. On this basis, we give proposals for state macroeconomic policy to stabilize Ukrainian economy.

Suggested Citation

  • N. S. Gonchar & W. H. Kozyrski & A. S. Zhokhin & O. P. Dovzhyk, 2018. "Kalman Filter in the Problem of the Exchange and the Inflation Rates Adequacy to Determining Factors," Noble International Journal of Economics and Financial Research, Noble Academic Publsiher, vol. 3(3), pages 31-39, 03-2018.
  • Handle: RePEc:nap:nijefr:2018:p:31-39
    as

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    References listed on IDEAS

    as
    1. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    2. Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Review, Federal Reserve Bank of St. Louis, vol. 84(Sep), pages 51-74.
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