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Determination of the real exchange rate of rouble and assessment of long-rum policy of real exchange rate targeting

Author

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  • Sossounov, Kirill
  • Ushakov, Nikolay

Abstract

The equilibrium real exchange rate of Russian ruble is estimated for the period from the beginning of 1995 to the beginning of 2008. According to the methodological approach proposed by Edwards (1988) the equilibrium real exchange rate is a function of a set of fundamental variables (so-called “reduced form equation”). In order to estimate an equilibrium real exchange rate a set of fundamentals was selected: terms of trade, productivity differential, fiscal policy variable. Estimation was performed in a cointegrated VAR framework using the Johansen cointegration test. The speed of adjustment of the actual real exchange rate to the equilibrium real exchange rate as well as the influence of monetary policy and private capital flows on the short-run dynamics of real exchange rate is explored.

Suggested Citation

  • Sossounov, Kirill & Ushakov, Nikolay, 2009. "Determination of the real exchange rate of rouble and assessment of long-rum policy of real exchange rate targeting," MPRA Paper 18549, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:18549
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    References listed on IDEAS

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    Cited by:

    1. Mironov, Valeriy V. & Petronevich, Anna V., 2015. "Discovering the signs of Dutch disease in Russia," Resources Policy, Elsevier, vol. 46(P2), pages 97-112.
    2. Hassan Suleiman & Zahid Muhammad, 2011. "The real exchange rate of an oil exporting economy: Empirical evidence from Nigeria," FIW Working Paper series 072, FIW.
    3. Sosunov, K. & Ushakov, N., 2009. "Determination of the Real Exchange Rate of the Ruble and Assessment of Long-Run Policy of Real Exchange Rate Targeting," Journal of the New Economic Association, New Economic Association, issue 3-4, pages 97-121.

    More about this item

    Keywords

    macroeconomics; real exchange rate; Russia;

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E00 - Macroeconomics and Monetary Economics - - General - - - General

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