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The econometric estimation of the effect of ruble exchange rate dynamics on economic activity

Author

Listed:
  • Badasen Polina

    (The Central Bank of the Russian Federation)

  • Kartaev Philipp

    (Department of Economics, Lomonosov Moscow State University)

  • Khazanov Alexey

    (Department of Economics, Lomonosov Moscow State University)

Abstract

In this paper we analyze the effect of ruble exchange rate dynamics on economic activity in Russia. We consider the dynamics of both total production and the distinct industries’ output. We apply the SVAR-X approach and analyze the most recent Russian data. We show that the devaluation of Rus-sian currency has positive impact on export-oriented industries, on industries, oriented both on ex-ports and internal demand, and on industries with low share of imports in costs. The negative im-pact is observed only in the construction industry. The ruble devaluation has no significant impact on the economic activity indicators in other industries including the key industries and the industrial production index.

Suggested Citation

  • Badasen Polina & Kartaev Philipp & Khazanov Alexey, 2015. "The econometric estimation of the effect of ruble exchange rate dynamics on economic activity," Working Papers 0014, Moscow State University, Faculty of Economics.
    • Handle: RePEc:upa:wpaper:0014
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    File URL: https://www.econ.msu.ru/sys/raw.php?o=23363&p=attachment
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    Cited by:

    1. Skrobotov, Anton (Скроботов, Антон) & Fokin, Nikita (Фокин, Никита), 2018. "Testing the Asymmetric Convergence of the Real Exchange Rate to Equilibrium During the Managed Ruble Exchange Rate Regime [Тестирование Ассиметричной Сходимости Реального Обменного Курса К Равновес," Working Papers 021808, Russian Presidential Academy of National Economy and Public Administration.

    More about this item

    Keywords

    exchange rate; output; SVAR models;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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