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Determination of the real exchange rate of rouble and assessment of long-rum policy of real exchange rate targeting

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  • Sossounov, Kirill
  • Ushakov, Nikolay

Abstract

The equilibrium real exchange rate of Russian ruble is estimated for the period from the beginning of 1995 to the beginning of 2008. According to the methodological approach proposed by Edwards (1988) the equilibrium real exchange rate is a function of a set of fundamental variables (so-called “reduced form equation”). In order to estimate an equilibrium real exchange rate a set of fundamentals was selected: terms of trade, productivity differential, fiscal policy variable. Estimation was performed in a cointegrated VAR framework using the Johansen cointegration test. The speed of adjustment of the actual real exchange rate to the equilibrium real exchange rate as well as the influence of monetary policy and private capital flows on the short-run dynamics of real exchange rate is explored.

Suggested Citation

  • Sossounov, Kirill & Ushakov, Nikolay, 2009. "Determination of the real exchange rate of rouble and assessment of long-rum policy of real exchange rate targeting," MPRA Paper 18549, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:18549
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    Cited by:

    1. Skrobotov, Anton (Скроботов, Антон) & Fokin, Nikita (Фокин, Никита), 2018. "Testing the Asymmetric Convergence of the Real Exchange Rate to Equilibrium During the Managed Ruble Exchange Rate Regime [Тестирование Ассиметричной Сходимости Реального Обменного Курса К Равновес," Working Papers 021808, Russian Presidential Academy of National Economy and Public Administration.
    2. Mironov, Valeriy V. & Petronevich, Anna V., 2015. "Discovering the signs of Dutch disease in Russia," Resources Policy, Elsevier, vol. 46(P2), pages 97-112.
    3. Irina Dubova, 2016. "Modeling Russia’s exchange rate in the long-run," International Economics and Economic Policy, Springer, vol. 13(3), pages 499-518, July.
    4. Polbin, Andrey & Shumilov, Andrei & Bedin, Andrei & Kulikov, Alexander, 2019. "Modeling real exchange rate of the Russian ruble using Markov regime switching approach," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 55, pages 32-50.
    5. Charles O. Manasseh & Janathan E. Ogbuabor & Felicia C. Abada & Okoro E.U. Okoro & Aja Ebeke Egele & Josaphat U. Onwumere, 2019. "Analysis of Oil Price Oscillations, Exchange Rate Dynamics and Economic Performance," International Journal of Energy Economics and Policy, Econjournals, vol. 9(1), pages 95-106.
    6. repec:wsr:wpaper:y:2011:i:072 is not listed on IDEAS
    7. Sosunov, K. & Ushakov, N., 2009. "Determination of the Real Exchange Rate of the Ruble and Assessment of Long-Run Policy of Real Exchange Rate Targeting," Journal of the New Economic Association, New Economic Association, issue 3-4, pages 97-121.
    8. Aleksei Anatolievich Ustiuzhanin & Irina Aleksandrovna Liman & Elena Petrovna Kiselitsa & Natalia Nikolaevna Shilova & Tatiana Ivanovna Leyman, 2019. "The ruble exchange rate and the price of oil: assessment of the degree of dependence, its causes and ways of overcoming," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 7(1), pages 121-132, September.
    9. Polbin, Andrey, 2017. "Моделирование Реального Курса Рубля В Условиях Изменения Режима Денежно-Кредитной Политики [Modeling the real ruble exchange rate under monetary policy regime change]," MPRA Paper 78139, University Library of Munich, Germany.
    10. 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.

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    More about this item

    Keywords

    macroeconomics; real exchange rate; Russia;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E00 - Macroeconomics and Monetary Economics - - General - - - General

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