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The role of home and foreign prices on tradables and nontradables in RER fluctuations in Russia

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  • Elena, Trukhacheva
  • Kirill, Sossounov

Abstract

The aim of this work is to analyze the factors responsible for RER appreciation in 2000—2006 years in Russia. Particularly, this study empirically evaluates how closely real exchange rate movements are related to movements in the relative price of nontraded to traded goods and to changes in the relative prices of tradable goods across countries in the data. The paper investigates the quarterly sample on Russian data in the period of RER appreciation: 2000.Q1- 2006.Q4. The macro data on price indices, GDP, RER etc. are taken from the official Goskomstat statistics. The central tool of analysis is the variance decomposition. The main hypothesis that is tested is the violation of the law of one price. The analytical papers of Ariel Burstein, Martin Eichenbaum, Sergio Rebelo and also the papers of Caroline Betts and Timothy Kehoe are considered as a basis for research approach in this study.

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File URL: http://mpra.ub.uni-muenchen.de/18550/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 18550.

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Date of creation: 01 May 2007
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Handle: RePEc:pra:mprapa:18550

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Keywords: Real Exchange Rate; Russia;

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  1. Ariel Burstein & Martin Eichenbaum & Sergio Rebelo, 2004. "Large Devaluations and the Real Exchange Rate," RCER Working Papers, University of Rochester - Center for Economic Research (RCER) 513, University of Rochester - Center for Economic Research (RCER).
  2. Engel, Charles, 1993. "Real exchange rates and relative prices : An empirical investigation," Journal of Monetary Economics, Elsevier, Elsevier, vol. 32(1), pages 35-50, August.
  3. Ariel Burstein & Martin Eichenbaum & Sergio Rebelo, 2005. "The Importance of Nontradable Goods' Prices in Cyclical Real Exchange Rate Fluctuations," NBER Working Papers 11699, National Bureau of Economic Research, Inc.
  4. Caroline M. Betts & Timothy J. Kehoe, 2005. "U.S. Real Exchange Rate Fluctuations and Relative Price Fluctuations," IEPR Working Papers, Institute of Economic Policy Research (IEPR) 05.16, Institute of Economic Policy Research (IEPR).
  5. Caroline M. Betts & Timothy J. Kehoe, 2008. "Real Exchange Rate Movements and the Relative Price of Non-traded Goods," NBER Working Papers 14437, National Bureau of Economic Research, Inc.
  6. Charles Engel, 1995. "Accounting for U.S. Real Exchange Rate Changes," NBER Working Papers 5394, National Bureau of Economic Research, Inc.
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