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Determination of the Real Exchange Rate of the Ruble and Assessment of Long-Run Policy of Real Exchange Rate Targeting

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Author Info

  • Sosunov, K.

    (HSE, Moscow, Russia)

  • Ushakov, N.

    (HSE, Moscow, Russia)

Abstract

The 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 Info

Article provided by New Economic Association in its journal Journal of the New Economic Association.

Volume (Year): (2009)
Issue (Month): 3-4 ()
Pages: 97-121

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Handle: RePEc:nea:journl:y:2009:i:3-4:p:97-121

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Keywords: Equilibrium exchange rate; cointegrated var framework; real exchange rate misalignment; a half life;

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References

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Cited by:
  1. Dülger, Fikret & Lopcu, Kenan & Burgaç, Almıla & Ballı, Esra, 2013. "Is Russia suffering from Dutch Disease? Cointegration with structural break," Resources Policy, Elsevier, vol. 38(4), pages 605-612.

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