Roman Lysenko’s research while affiliated with Ukrainian Academy of Banking of the National Bank of Ukraine and other places

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Publications (2)


Figure 1. Real GDP
Figure 3. Publishing Schedule for Relevant Inputs
Figure 4. The Forecasting Performance of the First and Last Iterations of a FAVAR Model
Comparisons of Mean Absolute Errors in Forecasts Produced based on the FAVAR and Alternative Models
Nowcasting Ukraine's GDP Using a Factor-Augmented VAR (FAVAR) Model
  • Article
  • Full-text available

December 2017

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75 Reads

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4 Citations

Visnyk of the National Bank of Ukraine

Anton Grui

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Roman Lysenko

This article presents an approach for nowcasting the current value of Ukraine’s quarterly GDP. The approach uses leading indicators with a different disclosure frequency. We generalize data from a set of explanatory variables into several factors by using principal components analysis and estimate the factor-augmented VAR (FAVAR) model. Our system incorporates new data as they are published throughout a quarter to adjust GDP nowcasts. In addition, we research the influence of separate data releases on the accuracy of forecasts.

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Nowcasting of Economic Development Indicators Using the NBU’s Business Survey Results

March 2016

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13 Reads

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2 Citations

Visnyk of the National Bank of Ukraine

The article was devoted to the research of possibilities to use Business Outlook Survey results, which are carried out by National Bank of Ukraine, for the short-term forecasting of economic development, in particular, the Gross Domestic Product of Ukraine. The different methods of building of the leading index of economic development, their advantages, and their restrictions are examined. The choice of the best index, which provides for the higher accuracy of forecasting the GDP, is carried out with the use of econometric models.

Citations (2)


... Namely, for j-th price component: 5 FAVAR models are also used to nowcast quarterly GDP figures. More detailed information can be found in Grui and Lysenko (2017). ...

Reference:

A Suite of Models for CPI Forecasting
Nowcasting Ukraine's GDP Using a Factor-Augmented VAR (FAVAR) Model

Visnyk of the National Bank of Ukraine

... There is a large group of authors that have analyzed leading indicators as tools for predicting economic tendencies in the future, especially during recession periods Cesaroni and Iezzi (2015), Döpke (1999), Dovern and Ziegler (2008), Döpke (1998), Oh and Waldman (2005), Lysenko and Kolesnichenko (2016), Lehmann (2020), Drechsel and Scheufele (2010), Kibritcioglu et al. (1999), Alleyne et al. (2013), Frale et al. (2009), Ferrara and Marsilli (2012), Etter and Graff (2003), Drechsel and Scheufele (2011), Dovern (2006), Garnitz et al. (2019), Buckman et al. (2020), Baker et al. (2020), Aguilar et al. (2020), Fritsche and Kouzine (2002), Ampudia et al. (2020), Juriova (2015), and Kitrar and Lipkind (2020); or used leading indicators for financial stability issues, especially for financial monitoring purposes (Bhattacharyay 2003). At the same time, other authors have focused on the problematic and main drivers that influence and have the most significant impact on leading indicators (Hüfner and Lahl 2003); or analyzed the main idea and construction of leading indicators Everhart and Duval-Hernández (2000), Elosegui et al. (2008), Bierbaumer-Polly (2010), Kellstedt et al. (2015), Martha Starr (2008), and Martinakova and Kapounek (2013). ...

Nowcasting of Economic Development Indicators Using the NBU’s Business Survey Results

Visnyk of the National Bank of Ukraine