Determination of the real exchange rate of rouble and assessment of long-rum policy of real exchange rate targeting
AbstractThe equilibrium real exchange rate of Russian ruble is estimated for the period from the beginning of 1995 to the beginning of 2008. According to the methodological approach proposed by Edwards (1988) the equilibrium real exchange rate is a function of a set of fundamental variables (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 cointegrated VAR framework using the Johansen cointegration 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 InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 18549.
Date of creation: 01 May 2009
Date of revision:
macroeconomics; real exchange rate; Russia;
Find related papers by JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E00 - Macroeconomics and Monetary Economics - - General - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-11-14 (All new papers)
- NEP-CBA-2009-11-14 (Central Banking)
- NEP-IFN-2009-11-14 (International Finance)
- NEP-MAC-2009-11-14 (Macroeconomics)
- NEP-OPM-2009-11-14 (Open Economy Macroeconomics)
- NEP-TRA-2009-11-14 (Transition Economics)
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