Analyzing the Impact of Monetary Instruments on the Amount of Domestic Debt in the Context of Formulating and Solving the Problem of Modeling the Threshold Level of Debt Security
Pilko A. D., Chepyha B. T.

Pilko, Andriy D., and Chepyha, Bohdan T. (2023) “Analyzing the Impact of Monetary Instruments on the Amount of Domestic Debt in the Context of Formulating and Solving the Problem of Modeling the Threshold Level of Debt Security.” The Problems of Economy 2:231–239.
https://doi.org/10.32983/2222-0712-2023-2-231-239

Section: Mathematical methods and models in economy

UDC 519.862:336.276

Abstract:
The purpose of the article is illumination of the results of the carried out studies aimed at analyzing and quantifying the relationships between key monetary instruments and indicators of domestic debt in the context of determining the threshold levels of debt security of the State. An approach to modeling and forecasting the causal relationships between monetary instruments and the size of domestic public debt has been proposed. A model of discriminant analysis based on the autoregressive model of distributed lag is developed, a classification rule is proposed, which together allow to determine the threshold level of debt security, as well as to predict the effectiveness of monetary instruments on the amount of domestic public debt and debt security. The essence of the results obtained within the terms of the carried out study lies in the development of existing scientific and methodological instrumentarium for macroeconometric modeling and forecasting the amount of domestic debt and debt security analysis. Allocating the monetary policy indicators independently of other macroeconomic factors, using the adjusted Akaike criterion to determine the lag of variables allowed to develop and evaluate a set of models that can serve as guidelines to assess the impact of monetary policy on the amount of domestic public debt and debt security, which is a distinctive feature of the presented development compared to analogues. The causality of impact analysis was also carried out to identify the most effective monetary instruments, and the analysis of the application of the results of the developed model of discriminant analysis made it possible to identify periods where domestic debt indicators underwent the greatest changes and affected the level of debt security, without taking into account the amount of external debt. Further development of the chosen direction of research will expand the range of models aimed at assessing the effectiveness of debt security mechanisms, taking into account the dynamics of monetary and other macroeconomic indicators.

Keywords: econometric modeling, monetary policy, domestic public debt, discriminant analysis.

Fig.: 3. Tabl.: 7. Formulae: 1. Bibl.: 21.

Pilko Andriy D. – Candidate of Sciences (Economics), Associate Professor, Associate Professor, Department of Economic Cybernetics, Precarpathian National University named after V. Stefanyk (57 Shevchenka Str., Ivano-Frankіvsk, 76018, Ukraine)
Email: andriypilko@i.ua
Chepyha Bohdan T. – Economist, “DOLYNANAFTOGAZ”, OIL AND GAS EXTRACTION DEPARTMENT PJSC “UKRNAFTA” (7 Promyslova Str., Dolyna, Kalush district, Ivano-Frankivsk region, 77503, Ukraine)
Email: bobanovy@gmail.com

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