Determination of the Real Exchange Rate of the Ruble and Assessment of Long-Run Policy of Real Exchange Rate Targeting
AbstractThe equilibrium real exchange rate of the Russian ruble is estimated for the period from the early 1995 to the early 2008. According to the methodological approach proposed by Edwards (1988), the equilibrium real exchange rate is a function of a set of fundamental variables (a so-called "reduced form equation"). In order to estimate an equilibrium real exchange rate, a set of fundamentals was selected: terms of trade; productivity differential; fiscal policy variable. Estimation was performed in a co-integrated VAR framework using the Johansen co-integration test. The speed of adjustment of the actual real exchange rate to the equilibrium real exchange rate as well as the influence of monetary policy and private capital flows on the short-run dynamics of real exchange rate is explored.
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Bibliographic InfoArticle provided by New Economic Association in its journal Journal of the New Economic Association.
Volume (Year): (2009)
Issue (Month): 3-4 ()
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Equilibrium exchange rate; cointegrated var framework; real exchange rate misalignment; a half life;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
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