АНАЛИЗ ПРИЧИННОЙ СВЯЗИ МЕЖДУ ОБМЕННЫМ КУРСОМ ВАЛЮТЫ, ИМПОРТОМ И ЭКСПОРТОМ МЕТОДОМ ВЕКТОРНОЙ АВТОРЕГРЕССИИ (VAR-МОДЕЛИ)

Authors : Sabira KASYMBAEVA

Pages : 45-51

View : 8 | Download : 4

Publication Date : 2015-05-01

Article Type : Research Paper

Abstract :The purpose of this paper is to analyze the causal relationship between exchange rate, import and export of Kyrgyzstan. In the analysis we used quarterly time series of KGS exchange rate to the dollar insert ignore into journalissuearticles values(ER);, import insert ignore into journalissuearticles values(IM); and export insert ignore into journalissuearticles values(EX); of Kyrgyzstan in 1996:1 - 2014:3 years. The data was obtained from the official site of the National Bank and the Statistical Committee of Kyrgyzstan. Natural logarithms of variables were used in the analysis. Temporary data have been investigated by means of an econometric model VAR insert ignore into journalissuearticles values(vector autoregression model);. To test the stationarity of the time series was used ADF unit root test. Test results have shown that these series are non-stationary, but the tests revealed that all series are stationary in their first differences. VAR analysis results showed unilateral causal relationship between the exchange rate and import in Kyrgyzstan, in other words a single pulse of the exchange rate of the som insert ignore into journalissuearticles values(ER); would have a negative impact on imports insert ignore into journalissuearticles values(IM); - except 4th and 8th quarters lag. In these lags the effect of the exchange rate of the som insert ignore into journalissuearticles values(ER); on import insert ignore into journalissuearticles values(IM); is positive.
Keywords : exchange rate, import, export, econometric model VAR