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

Author

Listed:
  • Afanasiev, Dmitriy

    () (Financial University Under the Government of Russian Federation)

  • Fedorova, Elena

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

Abstract

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.

Suggested Citation

  • Afanasiev, Dmitriy & Fedorova, Elena, 2016. "Currency integration of Russia and other CIS countries: what is changing in a crisis?," Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 2, pages 133-147, April.
  • Handle: RePEc:rnp:ecopol:ep1621
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    References listed on IDEAS

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    More about this item

    Keywords

    crisis; the index of pressure on the currency market; the channels flow crisis; with Markov switching model;

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • F15 - International Economics - - Trade - - - Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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