MACROFACTORS OF FOREIGN EXCHANGE RISK FORMATION IN THE BANKING SYSTEM OF UKRAINE
Journal Title: Проблеми системного підходу в економіці - Year 2017, Vol 3, Issue 59
Abstract
In this article, the author analyzes the main macrofactors which influence the exchange rates and thus the currency risk in the banking system of Ukraine. The exchange rates depend on the significant amount of factors. Nevertheless, it is the macroeconomic factors which determine the equilibrium between supply and demand in the long run. The analysis included such factors as gross domestic product, export and import volumes, foreign direct investments, consumer price indices in Ukraine and USA, and M3 money-measure. The results of using linear regression model showed that the most significant macroeconomic factors are gross domestic product and the volume of foreign investments. They are tightly interconnected with the foreign exchange rates, hence influence the currency risk of Ukrainian banks. At the same time, such metrics as gross domestic product and the volume of foreign direct investments are published just a few times per year. Moreover, they are published with a significant delay. That’s why gross domestic product and the volume of foreign direct investments are unsuitable for day-to-day risk management at the banks. Indicators which provide daily data might be used for foreign exchange risk assessment and forecasting. For instance, it is possible to use prices for goods which are traded on the international market by Ukrainian companies. The results of the analysis show that the price on the iron ore market has a significant impact on the UAH / USD exchange rate. The further research is required in order to determine the main features of the Ukrainian banking system which contribute the most toforeign exchange risk formation.
Authors and Affiliations
A. I. Lvov
Keywords
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