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Exchange Rate Modeling: The Case of Ruble

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  • Kuzmin, Anton

Abstract

The model of the equilibrium exchange rate of ruble is under construction on the basis of streams of the balance of payments of Russia taking into account trade conditions. Export-import transactions, factors of movement of the capital, a trade condition, indexes of the internal and export prices, and real gross domestic product, factors of elasticity of the foreign trade operations, decisions of microagents are used as base determinants in the model. In the process of creating the model it was justified a number of key internal dynamic functional dependencies were found that has allowed us to put the capital flows in the model on formal logical level, and, thus, to extend the model to the case of capital mobility. We discuss the relationship results from the fundamental equilibrium exchange rate in the framework of the author's conceptual approach to the assessment of the equilibrium exchange rate based on international flows (IFEER). The technique of adjustment of model internal parametres is offered with a view of macroeconomic regulation of the exchange rate of ruble. Based on the modeling results we built the analysis of the dynamics of the nominal exchange rate of ruble in 2013- 2015.

Suggested Citation

  • Kuzmin, Anton, 2015. "Exchange Rate Modeling: The Case of Ruble," MPRA Paper 71012, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:71012
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    File URL: https://mpra.ub.uni-muenchen.de/71012/1/MPRA_paper_71012.pdf
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    References listed on IDEAS

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    1. Kuzmin Anton, 2014. "A structural model of exchange rate dynamics," Review of Business and Economics Studies, CyberLeninka;Федеральное государственное образовательное бюджетное учреждение высшего профессионального образования «Финансовый университет при Правительстве Российской Федерации» (Финансовый университет), issue 3, pages 86-92.
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      Keywords

      Ethe equilibrium exchange rate; exchange rate of ruble; the balance of payments; a trade condition; the macroeconomic policy; capital streams;
      All these keywords.

      JEL classification:

      • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
      • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
      • F31 - International Economics - - International Finance - - - Foreign Exchange
      • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
      • F38 - International Economics - - International Finance - - - International Financial Policy: Financial Transactions Tax; Capital Controls
      • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
      • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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