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Currency integration of Russia and other CIS countries: what is changing in a crisis?

Listed author(s):
  • Afanasiev, Dmitriy

    ()

    (Financial University Under the Government of Russian Federation)

  • Fedorova, Elena

    ()

    (Financial University Under the Government of Russian Federation, NRU HSE)

The work carried out assessment of the level of monetary integration of Russia with other CIS member states, and examines the impact of economic crises on it and verified the presence of spillover effects for the currency channel. The methodology used includes correlation analysis of relative changes in nominal exchange rate of the national currencies of owls and econometric modeling Pressure index EMPI currency market using vector autoregression model with Markov switching mode MRS-VAR (Markov regimeswitching vector auto regression). On the basis of the study revealed that the integration into the stable periods of operation of the CIS economies is relatively weak, with the exception of Kazakhstan. At the same time, Belarus and Ukraine, it was found a significant increase in periods of financial instability.

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File URL: ftp://w82.ranepa.ru/rnp/ecopol/ep1621.pdf
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Article provided by Russian Presidential Academy of National Economy and Public Administration in its journal Economic Policy.

Volume (Year): 2 (2016)
Issue (Month): (April)
Pages: 133-147

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Handle: RePEc:rnp:ecopol:ep1621
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  1. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
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  3. Paul R Masson, 1998. "Contagion; Monsoonal Effects, Spillovers, and Jumps Between Multiple Equilibria," IMF Working Papers 98/142, International Monetary Fund.
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  5. Hamilton, James D & Gang, Lin, 1996. "Stock Market Volatility and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 573-593, Sept.-Oct.
  6. Marcello Pericoli & Massimo Sbracia, 2003. "A Primer on Financial Contagion," Journal of Economic Surveys, Wiley Blackwell, vol. 17(4), pages 571-608, September.
  7. Ozer-Imer, Itir & Ozkan, Ibrahim, 2014. "An empirical analysis of currency volatilities during the recent global financial crisis," Economic Modelling, Elsevier, vol. 43(C), pages 394-406.
  8. Hutchison, Michael M & Noy, Ilan, 2005. "How Bad Are Twins? Output Costs of Currency and Banking Crises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(4), pages 725-752, August.
  9. Kaminsky, Graciela L., 2006. "Currency crises: Are they all the same?," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 503-527, April.
  10. Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
  11. Frankel, Jeffrey A. & Rose, Andrew K., 1996. "Currency crashes in emerging markets: An empirical treatment," Journal of International Economics, Elsevier, vol. 41(3-4), pages 351-366, November.
  12. Hemche, Omar & Jawadi, Fredj & Maliki, Samir B. & Cheffou, Abdoulkarim Idi, 2016. "On the study of contagion in the context of the subprime crisis: A dynamic conditional correlation–multivariate GARCH approach," Economic Modelling, Elsevier, vol. 52(PA), pages 292-299.
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