Research on Causality Between System Risk and the Indicators of Development of the Real Sector of the Economy in Ukraine

Abstract

The stable functioning of the national financial system creates objective conditions for increasing the market capitalization of economic entities, increasing the inflow of foreign investment, improving the business climate in the country, as well as increasing the rate of GDP growth. The authors of the article are convinced that the financial and real sectors of the economy are closely related, and therefore it is possible to determine the principium of crisis situations by analyzing the causal relationship between these processes. Granger’s test, which involves the evaluation of auto-regression equations, was chosen as a methodical instrumentarium. To characterize the level of system risk in the country, the financial stress index was chosen, while the status of development of the real sector of the economy was proposed to be analyzed on the basis of the volume of exports of goods, the volume of imports of goods, the index of industrial production, the volume of retail turnover of enterprises, the index of agricultural production. As the informational base of the research was selected the monthly data for the period from April 2008 to December 2019. At the preparatory stage of the research on causality between the level of system risk and the indicators of development of the real sector of the economy, the time series was tested for stationarity, using the expanded Dickey–Fuller test and the stationary time series were converted with the help of the operator of the first and second differences depending on the variable. As a result of the empirical study, it is determined that the cause of the worsening of crisis phenomena in the real sector of the economy is precisely the effect of system risks. Prospect for further research in this direction is to evaluate the extent of the impact of system risks on the status of socio-economic relations in the country.

Keywords

• system risk
• real sector of the economy
• financial sector of the economy
• the granger test
• stationarity