Testing Asymmetric Convergence of the Real Exchange Rate to Equilibrium During Ruble Exchange Rate Targeting[Тестирование Асимметричной Сходимости Реального Обменного Курса К Равновесному Во Время Режима Управляемого Курса Рубля]

In the paper, an attempt is made to take into account the asymmetric reaction of the Bank of Russia to the positive and negative shocks of external economic conditions during the period from January 1999 to October 2014. For this, a nonlinear cointegrating regression with the real exchange rate and real oil prices is modeled using the threshold vector error correction model (TVECM). In the first step, we test for cointegration between the time series of the real exchange rate and real oil prices (in logs). Next, we estimate a threshold error correction model, which consists of two regimes. The first regime takes place with an increase in oil prices, at which the current real exchange rate is below its equilibrium value and begins to appreciate. The second regime takes place when oil prices fall, at which the real exchange rate turns out to be above the equilibrium exchange rate and begins to depreciate. The real oil prices are assumed to be an exogenous variable. Unlike existing approaches, regime switching is based on whether the real exchange rate in the previous period exceeds its equilibrium value under the new economic conditions with the changed oil prices in the current period. The estimation results indicate that the real exchange rate in the managed exchange rate regime asymmetrically reacted to different signs of shocks in oil prices (as a proxy for terms of trade). In other words, the convergence of the real exchange rate to the equilibrium rate was faster when oil prices fell than when they grew.