Effect of Ukraine’s public debt management on its macroeconomic development: VAR modeling

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One of the tools of economic policy of any country is efficient public debt management, which influences and determines the dynamics of key macroeconomic indicators. The study aims to assess how public debt management affects Ukraine’s macroeconomic development. The analyzed period includes data of 2015–2021. Econometric modeling is used to establish the existence of causal relationships between the dynamics of public debt and changes in key macroeconomic indicators using the Granger causality test and VAR (Vector Autoregression) model. The obtained results demonstrate that during the study period, the strongest links existed between the public debt and GDP, debt servicing and Ukraine’s total state budget expenditures, public debt and consumer price index, real effective exchange rate index of the hryvnia to the US dollar, and political stability index. At the same time, the calculations proved that public debt does not have a significant impact on foreign direct investment and the level of imports of goods and services. The proposed model allows for forecasts for future periods and can be used in developing public debt management policy.

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    • Figure B1. Dynamics of Ukraine’s macroeconomic indicators that are interdependent with the public debt (2015–2021)
    • Figure D1. Comparison of real data with model values from the VAR model
    • Figure F1. Comparison of actual data with model values of the VAR model
    • Figure G1. Projections of chosen macroeconomic indicators based on the VAR model for 2021–2023
    • Table 1. Significance of Granger causality test statistics for identifying causal relationships between specific macroeconomic indicators and the general government debt to GDP ratio in Ukraine during the period 2015–2021
    • Table 2. The p-value for the statistics of the Granger causality test examining causal relationships between specific macroeconomic indicators and the ratio of total government debt to GDP of Ukraine during the period 2015–2021
    • Table 3. Results of the augmented Dickey-Fuller test for chosen macroeconomic indicators from 2015 to 2021
    • Table 4. Search results for the optimal order of the VAR model for selected macroeconomic indicators over 2015–2021
    • Table 5. Forecasting the values of chosen macroeconomic indicators by employing the VAR model from 2021 to 2023
    • Table A1. Dynamics of Ukraine’s macroeconomic indicators selected to identify interdependent relationships with public debt (quarterly values for 2015–2021)
    • Table C1. Results of VAR modeling for selected macroeconomic indicators for the period 2015–2021
    • Table E1. Results of VAR modeling for selected macroeconomic indicators during 2015–2021
    • Conceptualization
      Fedir Zhuravka, Natalia Nebaba
    • Investigation
      Fedir Zhuravka, Olena Plakhotnik
    • Project administration
      Fedir Zhuravka
    • Supervision
      Fedir Zhuravka
    • Writing – original draft
      Fedir Zhuravka, Olena Plakhotnik
    • Writing – review & editing
      Fedir Zhuravka, Mila Razinkova, Tetiana Grynko
    • Data curation
      Mila Razinkova, Olena Plakhotnik
    • Formal Analysis
      Mila Razinkova, Tetiana Grynko, Natalia Nebaba
    • Methodology
      Mila Razinkova, Tetiana Grynko, Natalia Nebaba
    • Resources
      Mila Razinkova, Olena Plakhotnik, Tetiana Grynko, Natalia Nebaba
    • Validation
      Olena Plakhotnik, Tetiana Grynko, Natalia Nebaba
    • Visualization
      Olena Plakhotnik
    • Software
      Tetiana Grynko, Natalia Nebaba