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Determinants of the real effective exchange rate in the Russian Federation

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  • Bernardina Algieri

Abstract

This article examines the main determinants of the Russian real effective exchange rate (REX) movements over the transition period started in the early 1990s. To understand the forces that drive exchange rate dynamics, five strands of the empirical literature have been combined ina time series dimension. The results suggest a positive long-run cointegration relationship between the REX, oil price, productivity and government financial position and a negative relation with international reserves. Managing international reserves and fiscal policies have therefore, the effect of mitigating the impact of oil/terms of trade and productivity shocks on the REX.

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  • Bernardina Algieri, 2013. "Determinants of the real effective exchange rate in the Russian Federation," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 22(7), pages 1013-1037, October.
    • Handle: RePEc:taf:jitecd:v:22:y:2013:i:7:p:1013-1037
    DOI: 10.1080/09638199.2011.631216
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    1. Balázs Égert & Carol S. Leonard, 2006. "The Dutch Disease in Kazakhstan: An Empirical Investigation," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 85-108.
    2. Coricelli, Fabrizio & Jazbec, Bostjan, 2004. "Real exchange rate dynamics in transition economies," Structural Change and Economic Dynamics, Elsevier, vol. 15(1), pages 83-100, March.
    3. MacDonald, Ronald, 2000. "Concepts to Calculate Equilibrium Exchange Rates: An Overview," Discussion Paper Series 1: Economic Studies 2000,03, Deutsche Bundesbank.
    4. Mr. Joannes Mongardini, 1998. "Estimating Egypt’s Equilibrium Real Exchange Rate," IMF Working Papers 1998/005, International Monetary Fund.
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    1. Arshian Sharif, Sahar Afshan, 2016. "Tourism Development and Real Effective Exchange Rate Revisited by Wavelet based Analysis: Evidence from France," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 1(2), pages 101-118, October.
    2. Astrid Ayala & Szabolcs Blazsek & Adrian Licht, 2022. "Score-driven stochastic seasonality of the Russian rouble: an application case study for the period of 1999 to 2020," Empirical Economics, Springer, vol. 62(5), pages 2179-2203, May.
    3. Viktar Dudzich, 2022. "Real Exchange Rate Misalignments and Currency Crises in the Former Soviet Union Countries," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 64(3), pages 384-416, September.
    4. Joshua Aizenman & Yothin Jinjarak, 2019. "Hoarding for Stormy Days - Test of International Reserves Providing Financial Buffer Services," NBER Working Papers 25909, National Bureau of Economic Research, Inc.
    5. Sofoklis Vogiazas & Constantinos Alexiou & Orafiri C. Ogan, 2019. "Drivers of the real effective exchange rates in high and upper‐middle income countries," Australian Economic Papers, Wiley Blackwell, vol. 58(1), pages 41-53, March.
    6. Dülger, Fikret & Lopcu, Kenan & Burgaç, Almıla & Ballı, Esra, 2013. "Is Russia suffering from Dutch Disease? Cointegration with structural break," Resources Policy, Elsevier, vol. 38(4), pages 605-612.
    7. Kiril Tochkov, 2021. "Regional real exchange rates and growth: Evidence from resource‐based regional economies," Review of International Economics, Wiley Blackwell, vol. 29(3), pages 626-640, August.

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