Binciken Halin Canjin Kuɗi na USD/UAH a Ƙarƙashin Tsarin da ba a Kafinta ba

Tsarin Abubuwan Ciki

1. Gabatarwa & Bayyani

Wannan binciken ya gudanar da cikakken nazari na gaskiya game da halin canjin kuɗi na USD/UAH (Hryvnia na Yukuren) bayan Yukuren ta koma tsarin canjin kuɗi da ba a kafinta ba da kuma manufar kai hari ga hauhawar farashin kayayyaki a shekarar 2014. An binciki lokacin daga Janairu 2014 zuwa Mayu 2020, wanda ke da halayen rashin daidaiton tattalin arziki, tashin hankalin zamantakewa da siyasa, da kuma sauyin kuɗi mai mahimmanci, gami da mafi ƙanƙanta na 23.46 UAH/USD a watan Disamba 2019. Binciken yana da nufin gano ko motsin canjin kuɗin yana bin tsari ba tare da tsari ba ko kuma yanayi na dindindin, gano alamu na lokutan shekara, da kuma kimanta kula da tasirin girgije na tattalin arzikin waje, don haka tantance inganci da kwanciyar hankali na kasuwar musayar kuɗi ta Yukuren.

2. Hanyar Bincike & Bayanai

Nazarin gaskiya yana amfani da ƙwararrun dabarun lissafin tattalin arziki na jerin lokaci don gwada manyan hasashe guda uku game da yanayin tsarin canjin kuɗi na USD/UAH.

2.1 Hasashen Bincike

Binciken ya gwada hasashe masu zuwa: (H1) Canjin kuɗi na USD/UAH yana bin tsarin bazuwar (tafiya ba tare da tsari ba) maimakon yanayi mai ƙayyadaddun tsari. (H2) Halayen suna nuna alamu masu mahimmanci na ƙididdiga na lokutan shekara. (H3) Canjin kuɗin yana kula da tasirin girgije na tattalin arzikin waje, amma kasuwar musayar kuɗi ta Yukuren tana nuna alamun inganci idan martanin ya kasance na ɗan gajeren lokaci kuma yana komawa ga matsakaici.

2.2 Tsarin Nazari

An yi amfani da hanyar da ta ƙunshi hanyoyi da yawa:

• Gwaje-gwajen Tushe na Rukuni: Gwajin Augmented Dickey-Fuller (ADF) da na Phillips-Perron don tantance tsayayya da kasancewar yanayin bazuwa.
• Binciken Haɗin Kai: Don gano alamu da dagewa a cikin jerin.
• Gwaje-gwajen Dalilin Granger: Don bincika alaƙar jagora-ja-baya tsakanin canjin kuɗi da muhimman masu canjin tattalin arziki.
• Samfurin Maɗaukaki Guda: Samfurin ARMA (AutoRegressive Moving Average) don rarraba yanayi-lokutan shekara.
• Samfurin Maɗaukaki da Yawa: Samfurin Vector Autoregression (VAR) da Ayyukan Martani na Ƙarfafawa (IRFs) don nazarin tasirin motsi na girgije daga alamomin tattalin arziki daban-daban akan canjin kuɗi.

2.3 Lokacin Bayanai & Tushe

An yi amfani da bayanan wata-wata daga Janairu 2014 zuwa Mayu 2020. Babban mai canzawa shine canjin kuɗi na USD/UAH. Don nazarin maɗaukaki da yawa, wasu alamomin tattalin arziki sun haɗa da ƙimar hauhawar farashin kayayyaki, ƙimar riba, ajiyar kuɗi na waje, alkaluman ma'auni na ciniki, da yuwuwar abubuwan duniya kamar farashin mai ko fihirisar USD, waɗanda aka samo daga Babban Bankin Yukuren (NBU) da sauran hukumomin ƙididdiga na hukuma.

3. Sakamakon Gaskiya & Bincike

3.1 Binciken Yanayi & Tafiya Ba tare da Tsari ba

Sakamakon daga gwaje-gwajen ADF da Phillips-Perron sun nuna gazawar ƙin yarda da hasashen maras tushe na tushe rukuni ga jerin USD/UAH a cikin lokacin samfurin. Wannan yana ba da shaida mai ƙarfi ga H1, yana nuna cewa motsin canjin kuɗi wani tsarin bazuwa ne tare da ɓangaren tafiya ba tare da tsari ba. Yanayin ba na dindindin ba ne amma yana ƙunshe da wani abu na bazuwa, wanda ke haifar da sauye-sauye masu kaifi da rashin hasashe a kan lokaci. Wannan ya yi daidai da Hasashen Kasuwa mai Inganci mai rauni (EMH) ga kasuwar musayar kuɗi ta Yukuren, yana nuna cewa tsoffin motsin farashin ba za su iya hasashen canje-canjen gaba da aminci ba.

3.2 Gano Yanayin Lokutan Shekara

Binciken ya tabbatar da H2, yana bayyana bayyanannen tsarin lokutan shekara a cikin sauye-sauyen USD/UAH. Hryvnia yana rage daraja a kan USD a cikin kwata na farko da na biyu (Q1 & Q2) na shekara kuma yana ƙara daraja a cikin kwata na uku da na huɗu (Q3 & Q4). Wannan tsari na iya kasancewa da alaƙa da abubuwan zagayowar shekara kamar kwararar fitar da kayayyakin noma, jadawalin biyan haraji na kamfanoni, ko buƙatar kuɗin waje na lokacin shekara.

3.3 Kula da Tasirin Girgije na Waje

Samfurin VAR da Ayyukan Martani na Ƙarfafawa sun nuna cewa ƙimar USD/UAH tana amsa girgije daga takamaiman alamomin tattalin arziki, tare da martanin ko dai tabbatacce (rage daraja) ko mara kyau (ƙara daraja). Mafi mahimmanci, binciken ya gano waɗannan martanin gajeren lokaci ne, ba su da mahimmanci a ƙididdiga a cikin girma, kuma suna nuna halin dusashewa a kan lokaci. Wannan yana goyan bayan H3 kuma yana nuna cewa yayin da kasuwa ke amsa labarai (yana nuna inganci na dangi), ita ma tana da kwanciyar hankali saboda girgije ba sa haifar da dagewa, karkatar da hankali.

4. Muhimman Binciken & Ma'anarsu

• Yanayi na Bazuwa & Wanda ba a iya Hasashensa ba: Ƙimar USD/UAH tana bin tafiya ba tare da tsari ba, yana sa hasashen gajeren zuwa matsakaicin lokaci ya zama mai wahala sosai tare da samfuran layi.
• Bayyanannen Yanayin Lokutan Shekara: Masu tsara manufofi da 'yan kasuwa za su iya tsammanin wuraren matsin lamba na kwata-kwata, ko da yake ɓangaren tafiya ba tare da tsari ba yana iyakance ainihin hasashe.
• Kasuwa mai Inganci amma Sirara: Saurin martani, mai dusashewa ga girgije yana nuna kasuwar da ke haɗa bayanai da sauri amma tana iya rasa zurfin riƙe manyan motsi, tsayayye daga girgije guda.
• Dogaro da Abubuwa da Yawa: Canjin kuɗin yana da tasiri daga wasu abubuwan tattalin arzikin cikin gida da yuwuwar na duniya, daidai da ka'idar kuɗi ta duniya ta yau da kullun.
• Kalubalen Manufa: Ga Babban Bankin Yukuren, sarrafa hauhawar farashin kayayyaki a ƙarƙashin tsarin da ba a kafinta ba tare da canjin kuɗi mai saurin canzawa da bazuwa babban kalubale ne.

5. Cikakkun Bayanai Fasaha & Tsarin Lissafi

An ƙayyade ainihin samfuran kamar haka:

Gwajin Augmented Dickey-Fuller (ADF):
$\Delta y_t = \alpha + \beta t + \gamma y_{t-1} + \sum_{i=1}^{p} \delta_i \Delta y_{t-i} + \epsilon_t$
Hasashen maras tushe $H_0: \gamma = 0$ (tushe rukuni yana nan). Sakamakon binciken da alama ya kasa ƙin yarda da $H_0$ ga jerin matakin.

Samfurin Vector Autoregression (VAR):
$\mathbf{Y}_t = \mathbf{A}_0 + \mathbf{A}_1\mathbf{Y}_{t-1} + ... + \mathbf{A}_p\mathbf{Y}_{t-p} + \mathbf{U}_t$
inda $\mathbf{Y}_t$ vector ne mai ɗauke da ƙimar USD/UAH da sauran masu canjin tattalin arziki (misali, hauhawar farashin kayayyaki, ƙimar riba), $\mathbf{A}_i$ matrices ne na ƙima, kuma $\mathbf{U}_t$ vector ne na sabbin abubuwan farin ƙara.

Aikin Martani na Ƙarfafawa (IRF):
Yana bin tasirin girgije mai girman ma'auni guda ɗaya zuwa wani mai canzawa (misali, mamakin hauhawar farashin kayayyaki) akan ƙimomin yanzu da na gaba na duk masu canzawa a cikin tsarin VAR, musamman ƙimar USD/UAH: $\frac{\partial Y_{t+h}}{\partial u_{j,t}}$ don $h=0,1,2,...$

6. Sakamakon Gwaji & Bayanin Hotuna

Hoto 1 (Zanen Jerin Lokaci): Da alama yana nuna ƙimar canjin kuɗi na USD/UAH daga 2014-2020, yana nuna ƙarancin daraja a 2014-2015, kwanciyar hankali na dangi a 2016-2018, da sabon sauyi a 2019-2020, tare da kololuwar Disamba 2019.

Hoto 2 (Hotunan Haɗin Kai/ Haɗin Kai na Musamman): Hotunan Ayyukan Haɗin Kai da Haɗin Kai na Musamman da aka yi amfani da su don gano umarnin samfurin ARMA ($p$, $q$) da kuma kimanta dagewa ta gani (ACF mai jinkirin lalacewa yana nuna rashin tsayayya).

Hoto 3 (Rarrabuwar Lokutan Shekara): Zanen da ke rarraba jerin zuwa ɓangaren yanayi, lokutan shekara, da ragowar ɓangarorin, yana tabbatar da tsarin rage daraja Q1-Q2 / ƙara daraja Q3-Q4 ta gani.

Hotuna 4-7 (Ayyukan Martani na Ƙarfafawa): Jerin hotuna da ke nuna martanin canjin kuɗi na USD/UAH ga girgije masu karkace daga sauran masu canzawa a cikin VAR (misali, girgije ga ƙimar manufar NBU, hauhawar farashin kayayyaki, ma'aunin ciniki). Muhimmin abin lura shine cewa hanyoyin martanin suna yawo a kusa da sifili, tare da tazara na amincewa da ke tattare da sifili, yana nuna tasirin da ba shi da mahimmanci a ƙididdiga kuma na wucin gadi.

Tebura 1-11: Suna gabatar da ƙididdiga na bayyani, sakamakon gwajin tushe rukuni (ƙididdiga na ADF/PP da ƙimar-p), fitattun ƙididdiga na samfurin ARMA, sakamakon gwajin dalilin Granger (ƙididdiga-F da ƙimar-p), da matrices na ƙididdiga na samfurin VAR.

7. Tsarin Bincike: Wani Lamari na Aiki

Yanayi: Mai fitar da kayayyakin noma na Yukuren yana son tantance haɗarin FX don kudaden shiga da za a biya a watan Yuni 2024.

Aiwatar da Tsarin:

1. Bangaren Yanayi (Bazuwa): Mai binciken ya yarda da yanayin tafiya ba tare da tsari ba. Hasashen batu daga samfurin ARMA yana da shakku sosai. Maimakon haka, suna mai da hankali kan hasashen rarrabawa na yuwuwar sakamako (misali, ta amfani da simintin motsi na Brownian Geometric: $dS_t = \mu S_t dt + \sigma S_t dW_t$, inda $S_t$ shine canjin kuɗi).
2. Gyaran Lokutan Shekara: Bayanan tarihi sun nuna Yuni (Q2) yawanci lokaci ne na raunin Hryvnia. Mai binciken zai haɗa son zuciya na rage daraja na lokutan shekara cikin samfurin haɗarinsa, watakila ta hanyar nazarin matsakaicin dawowar Yuni a cikin shekaru 10 da suka gabata.
3. Binciken Girgije: Ta amfani da sauƙaƙan sigar tsarin VAR na takardar, mai binciken yana sa ido kan alamomin jagora (misali, bugu na hauhawar farashin kayayyaki na wata-wata, sharhin NBU, ƙarfin USD na duniya). Ma'anar IRF ta gaya musu cewa ko da ƙimar hauhawar farashin kayayyaki mara kyau bai kamata ya haifar da canji na dindindin ba idan kasuwa tana da inganci, amma yana iya haifar da sauyi na ɗan gajeren lokaci.
4. Yanke Shawarar Kariya: Ganin babban sauyi (yanayin bazuwa) da iskar karkatar da hankali na lokutan shekara, mai binciken ya ba da shawarar kare wani ɓangare mai mahimmanci na kudaden shiga da ake tsammani na Yuni ta hanyar kwangilolin gaba ko zaɓuɓɓuka, maimakon barin shi ba tare da kariya ba bisa ga hasashen butulci.

8. Ayyuka na Gaba & Hanyoyin Bincike

• Samfuran da ba na Layi ba & Samfuran Injin Koyo: Ganin iyakokin samfuran layi (ARMA, VAR) wajen hasashen tafiya ba tare da tsari ba, bincike na gaba ya kamata ya yi amfani da samfuran da ba na layi ba kamar GARCH don tarin sauyi, ko dabarun koyon inji (cibiyoyin sadarwa na LSTM, Dazuzzukan Ba tare da Tsari ba) don ɗaukar dogaro mai sarƙaƙiya, wanda ba na layi ba wanda zai iya ba da ƙarin ƙarfin hasashe don sarrafa haɗari, kamar yadda aka gani a cikin ci-gaban binciken hasashen forex (misali, gwaje-gwajen da suka haɗa LSTM tare da hanyoyin kulawa).
• Binciken Bayanai mai Girma Mita: Yin amfani da bayanan cikin rana ko ƙima don gwada ƙananan tsarin kasuwa da saurin daidaitawa ga labarai, yana ba da gwaji mai kaifi na ingancin kasuwa.
• Haɗa Abubuwan Haɗari na Duniya: Haɗa bayyanannun masu canjin duniya kamar Fihirisar Dalar Amurka ta ICE (DXY), VIX (fihirisar sauyi), ko farashin kayayyaki cikin samfurin VAR don raba tuƙi na cikin gida daga na duniya.
• Kimanta Manufa: Yin amfani da kafaffen tsarin a matsayin abin da ya saba wa gaskiya don kimanta tasirin takamaiman shiga tsakani na NBU ko canje-canjen manufa bayan 2020.
• Aiwatarwa ga Nau'i-nau'i na Crypto-Fiat: Ana iya daidaita hanyar don nazarin halayen kuɗaɗen kasuwannin masu tasowa a kan kuɗaɗen crypto, wani yanki mai girma na sha'awa a cikin kuɗi na rarrabuwa (DeFi).

9. Nassoshi

1. Ignatyuk, A., Osetskyi, V., Makarenko, M., & Artemenko, A. (2020). Ukrainian hryvnia under the floating exchange rate regime: diagnostics of the USD/UAH exchange rate dynamics. Banks and Bank Systems, 15(3), 129-146.
2. Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427-431.
3. Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
4. Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424-438.
5. Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48(1), 1-48.
6. Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.
7. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327.
8. Hochreiter, S., & Schmidhuber, J. (1997). Long short-term memory. Neural Computation, 9(8), 1735-1780.
9. National Bank of Ukraine. (2024). Official statistics and reports. Retrieved from [NBU Website].
10. International Monetary Fund. (2023). Annual Report on Exchange Arrangements and Exchange Restrictions (AREAER).

10. Ra'ayin Mai Bincike: Cikakken Fahimta, Tsarin Ma'ana, Ƙarfi & Kurakurai, Shawarwari masu Amfani

Cikakken Fahimta: Wannan takarda tana ba da gaskiya mai tsauri, mai wuya ga duk wanda ke yin fare akan Hryvnia: ainihin yanayinsa ba shi da yuwuwar hasashe. Marubutan sun tabbatar da cewa ƙimar USD/UAH tafiya ce ba tare da tsari ba ta al'ada, suna binne begen samfuran hasashe na layi masu dogaro. Abin da ya fi ban mamaki shi ne haɗuwar wannan hargitsi tare da bayyanannun alamu na lokutan shekara da kasuwar da ke narkar da labarai da inganci amma a taƙaice. Wannan yana zana hoton kasuwar da ke da inganci na inji amma ba ta da kwanciyar hankali a asali—haɗuwa mai haɗari ga masu saka hannun jari na dogon lokaci amma yanki mai yuwuwar wasa ga 'yan kasuwa masu wayo, masu sane da lokutan shekara.

Tsarin Ma'ana: Hujja tana da tsari kuma tana da ƙarfi. Ya fara da bayyanannen hasashe (tafiya ba tare da tsari ba), yana amfani da gwaje-gwajen masu ƙa'ida na masana'antu (ADF, PP) don tabbatar da shi, sannan ya sanya sarƙaƙi ta hanyar gano abubuwan da ba na al'ada ba na lokutan shekara waɗanda tafiya ba tare da tsari ba ba ta hana su ba. A ƙarshe, yana amfani da samfurin VAR don gwada juriyar kasuwa, yana gano cewa yana ɗaukar girgije da sauri—alamar kasuwa mai inganci, ko da ba mai zurfi ba. Kwararar daga nazarin maɗaukaki guda zuwa maɗaukaki da yawa littafi ne kuma yana da tasiri.

Ƙarfi & Kurakurai: Ƙarfin yana cikin cikakken kayan aikin hanyar bincike da cikakkun sakamako, waɗanda bayanai suka jagoranta. Marubutan ba su wuce gona da iri ba. Duk da haka, babban aibi shine na watsi a cikin mahallin zamani: rashin cikakken hanyoyin da ba na layi ba ko na koyon inji. Tsayawa kan ARMA/VAR a cikin 2020 don nazarin kuɗin EM mai sauyi kamar yin amfani da taswira don kewaya guguwa. Bincike kamar waɗanda ke amfani da LSTMs ga forex (misali, Sezer et al., 2020) sun nuna gagarumin riba wajen ɗaukar sarƙaƙiyar alamu waɗanda tafiya ba tare da tsari ba za ta iya ɓoyewa. Bugu da ƙari, "girgije na waje" da alama sun fi mayar da hankali kan cikin gida, suna rasa babban giwa a cikin daki: babban tasirin manufar Fed na Amurka da zagayowar dalar duniya akan tattalin arzikin da aka yi amfani da dalar kamar na Yukuren.

Shawarwari masu Amfani:

• Ga Kamfanoni & Bankuna: Bar hasashen batu don tsarin aiki. Nan da nan canza zuwa nazarin yanayi na yuwuwar da gwajin matsin lamba. Yi amfani da gano lokutan shekara na Q1/Q2 a matsayin wani abu na tsari a cikin kalandar kariya na shekara—yi la'akari da sanya ƙarin kariya a cikin waɗannan tagogin.
• Ga NBU: Binciken ya tabbatar da matuƙar wahalar kai hari ga hauhawar farashin kayayyaki tare da kuɗi mai yawo, tafiya ba tare da tsari ba. Dabarar sadarwa dole ne ta jaddada sarrafa tsammanin da sauyi maimakon ƙoƙarin tuƙi matakin. Yi la'akari da buga "ƙarin abubuwan lokutan shekara" zuwa rahotannin hauhawar farashin kayayyaki don kafa fahimtar jama'a.
• Ga Masu Bincike: Wannan takarda cikakkiyar tushe ce. Mataki na gaba shine maye gurbinsa da samfuran da za su iya sarrafa rashin layi wannan binciken ya nuna. Yi haɗin gwiwa tare da ƙungiyoyin kimiyyar bayanai don amfani da haɓakar gradient ko hanyoyin sadarwar jijiya ga wannan saitin bayanai; kwatancen sakamako zai zama abin bugawa sosai.
• Ga Masu Zuba Jari: Yi wa Yukuren matsayin babban sauyi, rabon dabarun. Tsarin lokutan shekara (rauni H1, ƙarfi H2) yana ba da dama, ko da yake mai haɗari, karkata na tsari. Duk wani matsayi na dogon lokaci dole ne ya kasance bisa ga gyara na asali wanda ke inganta tuƙi na asali na sauyi, ba akan hasashen kuɗi ba.