378

The paper examines the determinants of exchange rate fluctuations of Uzbek sum using three econometric models as OLS (Ordinary Least Squares), ARIMA (Autoregressive Integrated Moving Average) and MLARCH (Multivariate Longmemory Autoregressive Conditional Heteroskadasticity). Model results show that the effects of money supply and remittances to the nominal and real exchange rates (USD/UZS) are found statistically significant; the impacts of inflation and interest rate are not econometrically meaningful. It should be noted that the level of net trade influences to the exchange rate is not conclusive in our econometric analysis.

  • Internet ҳавола
  • DOIhttps://dx.doi.org/10.36522/2181-9637-2019-1-2
  • UzSCI тизимида яратилган сана 17-01-2022
  • Ўқишлар сони 378
  • Нашр санаси 27-02-2019
  • Мақола тилиIngliz
  • Саҳифалар сони10
Ўзбек

Мазкур мақолада миллий валюта – сўмнинг АҚШ долларига нисбатан алмашув курсига таъсир этувчи омиллар (детерминантлар) уч турдаги эконометрик моделлар, яъни энг кичик квадратлар (Ordinary Least Squares), ўртача қийматли интеграциялашган авторегрессия (Autoregressive Integrated Moving Average) ҳамда кўп ўлчовли узоқ хотирали шартли гетроскедастлилик авторегрессия (Multivariate Long memory Autoregressive Conditional Heteroskadasticity) моделлари орқали таҳлил қилинган. Модель натижалари сўмнинг номинал ва реал алмашув курсига кенг пул массаси ва чет элдан келаётган пул ўтказмаларининг таъсирини статистик жиҳатдан аҳамиятли эканлигини, фоиз ставкаси ва инфляция даражасини эса аҳамиятсиз эканлигини кўрсатди. Шунингдек, ушбу таҳлиллар соф ташқи савдонинг таъсирини ҳам сўм алмашув курсига ижобий баҳолаш имконини бермади.

Русский

В настоящей статье рассматриваются детерминанты колебаний обменного курса узбекской валюты – сума к доллару США с использованием трех эконометрических моделей OLS (обычные наименьшие квадраты), ARIMA (авторегрессионное интегрированное скользящее среднее) и ML ARCH (многомерная авторегрессионная условная гетероскадастичность с длительной памятью). Результаты моделирования показали, что влияние денежной массы и денежных переводов на номинальный и реальный обменные курсы является статистически значимым; влияние инфляции и процентной ставки не является эконометрически значимым. В эконометрическом анализе уровень чистого влияния торговли на обменный курс не дал позитивный отклик.

English

The paper examines the determinants of exchange rate fluctuations of Uzbek sum using three econometric models as OLS (Ordinary Least Squares), ARIMA (Autoregressive Integrated Moving Average) and MLARCH (Multivariate Longmemory Autoregressive Conditional Heteroskadasticity). Model results show that the effects of money supply and remittances to the nominal and real exchange rates (USD/UZS) are found statistically significant; the impacts of inflation and interest rate are not econometrically meaningful. It should be noted that the level of net trade influences to the exchange rate is not conclusive in our econometric analysis.

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