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

Author

Listed:
  • Elena, Trukhacheva
  • Kirill, Sossounov

Abstract

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.

Suggested Citation

  • Elena, Trukhacheva & Kirill, Sossounov, 2007. "The role of home and foreign prices on tradables and nontradables in RER fluctuations in Russia," MPRA Paper 18550, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:18550
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    File URL: https://mpra.ub.uni-muenchen.de/18550/1/MPRA_paper_18550.pdf
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    References listed on IDEAS

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    1. Betts, Caroline M. & Kehoe, Timothy J., 2006. "U.S. real exchange rate fluctuations and relative price fluctuations," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1297-1326, October.
    2. Ariel Burstein & Martin Eichenbaum & Sergio Rebelo, 2005. "Large Devaluations and the Real Exchange Rate," Journal of Political Economy, University of Chicago Press, vol. 113(4), pages 742-784, August.
    3. 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.
    4. 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.
    5. Engel, Charles, 1993. "Real exchange rates and relative prices : An empirical investigation," Journal of Monetary Economics, Elsevier, vol. 32(1), pages 35-50, August.
    6. Caroline M. Betts & Timothy J. Kehoe, 2008. "Real exchange rate movements and the relative price of non-traded goods," Staff Report 415, Federal Reserve Bank of Minneapolis.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Real Exchange Rate; Russia;

    JEL classification:

    • E00 - Macroeconomics and Monetary Economics - - General - - - General

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