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The Russian Foreign Exchange Policy on the Wave of Crisis Cycle

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  • Shulgin, Andrey

Abstract

The work analyses the foreign exchange policy of The Central Bank of Russia in the wake of the 1988 financial crisis. The period (1998–2006) called “crisis wave” is divided into several wave phases and each one should be analyzed sepa-rately. Special attention is given to the last wave phase starting in 2003. The foreign exchange policy rule is estimated by using VECM methodology. Two alternative hypotheses of exchange rate targeting (real against nominal targeting) are tested for that period.

Suggested Citation

  • Shulgin, Andrey, 2006. "The Russian Foreign Exchange Policy on the Wave of Crisis Cycle," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 4(4), pages 18-48.
    • Handle: RePEc:ris:apltrx:0153
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    References listed on IDEAS

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    1. Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
    2. Calvo, Guillermo A. & Reinhart, Carmen M. & Vegh, Carlos A., 1995. "Targeting the real exchange rate: theory and evidence," Journal of Development Economics, Elsevier, vol. 47(1), pages 97-133, June.
    3. Peter J. Montiel & Jonathan D. Ostry, 1992. "Real Exchange Rate Targeting under Capital Controls: Can Money Provide a Nominal Anchor?," IMF Staff Papers, Palgrave Macmillan, vol. 39(1), pages 58-78, March.
    4. Øistein Røisland & Ragnar Torvik, 2004. "Exchange rate versus inflation targeting: a theory of output fluctuations in traded and non-traded sectors," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 13(3), pages 265-285.
    5. Blejer, Mario I & Leiderman, Leonardo, 1981. "A Monetary Approach to the Crawling-Peg System: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 89(1), pages 132-151, February.
    6. Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 195-214, December.
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    Cited by:

    1. Shulgin, Andrei, 2014. "How much monetary policy rules do we need to estimate DSGE model for Russia?," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 36(4), pages 3-31.
    2. Shulgin, A., 2017. "Two-Dimensional Monetary Policy Shocks in DSGE-Model Estimated for Russia," Journal of the New Economic Association, New Economic Association, vol. 33(1), pages 75-115.
    3. Рубинштейн Александр Яковлевич, "undated". "Рациональность & Иррациональность: Эволюция Смыслов [Rationality & Irrationality: Evolution of the Senses]," Working papers a:pru175:ye:2017:1, Institute of Economics.

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    More about this item

    Keywords

    exchange policy; financial crisis;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G01 - Financial Economics - - General - - - Financial Crises

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