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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 Равновесию Во Время Режима Управляемого Курса Рубля]

Author

Listed:
  • Skrobotov, Anton (Скроботов, Антон)

    (Russian Presidential Academy of National Economy and Public Administration (RANEPA))

  • Fokin, Nikita (Фокин, Никита)

    (Russian Presidential Academy of National Economy and Public Administration (RANEPA))

Abstract

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, the nonlinear cointegrating regression with real exchange rate and real oil prices is modeled using the threshold vector error correction model (TVECM).

Suggested Citation

  • 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.
    • Handle: RePEc:rnp:wpaper:021808
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    References listed on IDEAS

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    1. Cashin, Paul & Cespedes, Luis F. & Sahay, Ratna, 2004. "Commodity currencies and the real exchange rate," Journal of Development Economics, Elsevier, vol. 75(1), pages 239-268, October.
    2. Hansen, Bruce E. & Seo, Byeongseon, 2002. "Testing for two-regime threshold cointegration in vector error-correction models," Journal of Econometrics, Elsevier, vol. 110(2), pages 293-318, October.
    3. Сосунов К. А. & Шумилов А. В., 2005. "Оценивание Равновесного Реального Обменного Курса Российского Рубля," Higher School of Economics Economic Journal Экономический журнал Высшей школы экономики, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», vol. 9(2), pages 216-229.
    4. Tatiana Evdokimova & Pavel Trunin & Andrei Zubarev, 2013. "The Impact of the Real Ruble Exchange Rate on the Economic Activity in Russia," Research Paper Series, Gaidar Institute for Economic Policy, issue 165P, pages 164-164.
    5. Nadezhda Ivanova, 2007. "Estimation of the Equilibrium Real Exchange Rate in Russia: Trade-Balance Approach," Working Papers w0102, Center for Economic and Financial Research (CEFIR).
    6. Alexandra Bozhechkova & Pavel Trunin, 2015. "An Estimation Of Fundamentally Substantiated Real Exchange Rate Of The Ruble," Russian Economic Development, Gaidar Institute for Economic Policy, issue 2, pages 65-67, February.
    7. Chen, Yu-chin & Rogoff, Kenneth, 2003. "Commodity currencies," Journal of International Economics, Elsevier, vol. 60(1), pages 133-160, May.
    8. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    9. Bela Balassa, 1964. "The Purchasing-Power Parity Doctrine: A Reappraisal," Journal of Political Economy, University of Chicago Press, vol. 72(6), pages 584-584.
    10. 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.
    11. A. Polbin., 2017. "Modeling the real ruble exchange rate under monetary policy regime change," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 4.
    12. Badasen Polina & Kartaev Philipp & Khazanov Alexey, 2015. "The econometric estimation of the effect of ruble exchange rate dynamics on economic activity," Working Papers 0014, Moscow State University, Faculty of Economics.
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    Cited by:

    1. 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.
    2. Andrey Bedin & Alexander Kulikov & Andrey Polbin, 2023. "Copula-Based Modelling of Relationship Between Dollar/Rouble Exchange Rate and Oil Prices," Russian Journal of Money and Finance, Bank of Russia, vol. 82(3), pages 87-109, September.
    3. Nikita D. Fokin & Ekaterina V. Malikova & Andrey V. Polbin, 2024. "Time-varying parameters error correction model for real ruble exchange rate and oil prices: What has changed due to capital control and sanctions?," Russian Journal of Economics, ARPHA Platform, vol. 10(1), pages 20-33, March.
    4. Nikita Fokin & Andrey Polbin, 2019. "Forecasting Russia's Key Macroeconomic Indicators with the VAR-LASSO Model," Russian Journal of Money and Finance, Bank of Russia, vol. 78(2), pages 67-93, June.

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    More about this item

    Keywords

    real exchange rate; monetary policy; The Central Bank of Russia; threshold error correction model; TVECM model;
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