Модель Зависимости Обменного Курса Рубля От Цен На Нефть С Марковскими Переключениями Режимов
[Modeling the relationship between the Russian ruble exchange rate and oil prices: A Markov regime switching approach]
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Cited by:
- Lomonosov, Daniil & Polbin, Andrey & Fokin, Nikita, 2020. "Влияние Шоков Мировой Деловой Активности, Предложения Нефти И Спекулятивных Нефтяных Шоков На Экономику Рф [The impact of global economic activity, oil supply and speculative oil shocks on the Russ," MPRA Paper 106019, University Library of Munich, Germany.
- Daniil Lomonosov & Andrey Polbin & Nikita Fokin, 2021. "The Impact of Global Economic Activity, Oil Supply and Speculative Oil Shocks on the Russian Economy," HSE Economic Journal, National Research University Higher School of Economics, vol. 25(2), pages 227-262.
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More about this item
Keywords
exchange rate; Russian ruble; oil prices; autoregressive Markov regime switching model; out-of-sample fit;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- F31 - International Economics - - International Finance - - - Foreign Exchange
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CIS-2020-08-31 (Confederation of Independent States)
- NEP-ENE-2020-08-31 (Energy Economics)
- NEP-MAC-2020-08-31 (Macroeconomics)
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