Semko R. Monetary processes modeling during stock market fluctuations

Dissertation is devoted to the investigation of theoretical, methodological and empirical aspects of monetary policy modeling during asset market changes so as to achieve macroeconomic and financial stability. In this dissertation the conceptual basis for optimal monetary policy during stock market fluctuations is validated with such modern economic and mathematical instruments as newly constructed dynamic stochastic general equilibrium model for small open economy with financial accelerator and stock market bubble. Constructed and estimated based on Bayesian econometrics model allows analyzing the reaction of the Ukrainian economy to the external and internal shocks. In particular, the results show that optimal monetary rule of the National bank of Ukraine implies strong reaction to inflation and at the same time such reaction to the stock market should be insignificant. In addition, received impulse response functions can be used for increasing the efficiency of monetary policy interventions. Promising directions for future work in the field of monetary processes modeling during stock market fluctuations include improvements of financial bubble modeling and taking into account such features of the Ukrainian economy as large share of shadow sector, high degree of dollarization et cetera.