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The role of home and foreign prices on tradables and nontradables in RER fluctuations in Russia

  • Elena, Trukhacheva
  • Kirill, Sossounov

The aim of this work is to analyze the factors responsible for RER appreciation in 2000—2006 years in Russia. Particularly, this study empirically evaluates how closely real exchange rate movements are related to movements in the relative price of nontraded to traded goods and to changes in the relative prices of tradable goods across countries in the data. The paper investigates the quarterly sample on Russian data in the period of RER appreciation: 2000.Q1- 2006.Q4. The macro data on price indices, GDP, RER etc. are taken from the official Goskomstat statistics. The central tool of analysis is the variance decomposition. The main hypothesis that is tested is the violation of the law of one price. The analytical papers of Ariel Burstein, Martin Eichenbaum, Sergio Rebelo and also the papers of Caroline Betts and Timothy Kehoe are considered as a basis for research approach in this study.

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File URL: http://mpra.ub.uni-muenchen.de/18550/1/MPRA_paper_18550.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 18550.

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Date of creation: 01 May 2007
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Handle: RePEc:pra:mprapa:18550
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  1. Caroline M. Betts & Timothy J. Kehoe, 2004. "U.S. real exchange rate fluctuations and relative price fluctuations," Staff Report 334, Federal Reserve Bank of Minneapolis.
  2. Sergio Rebelo & Ariel Burstein & Martin Eichenbaum, 2004. "Large Devaluations and the Real Exchange Rate," 2004 Meeting Papers 137, Society for Economic Dynamics.
  3. Burstein, Ariel & Eichenbaum, Martin & Rebelo, Sergio, 2006. "The importance of nontradable goods' prices in cyclical real exchange rate fluctuations," Japan and the World Economy, Elsevier, vol. 18(3), pages 247-253, August.
  4. Engel, Charles, 1993. "Real exchange rates and relative prices : An empirical investigation," Journal of Monetary Economics, Elsevier, vol. 32(1), pages 35-50, August.
  5. Charles Engel, 1999. "Accounting for U.S. Real Exchange Rate Changes," Journal of Political Economy, University of Chicago Press, vol. 107(3), pages 507-538, June.
  6. Caroline M. Betts & Timothy J. Kehoe, 2008. "Real Exchange Rate Movements and the Relative Price of Non-traded Goods," NBER Working Papers 14437, National Bureau of Economic Research, Inc.
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