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

Kirill Sossounov and Nikolay Ushakov

MPRA Paper from University Library of Munich, Germany

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.

Keywords: macroeconomics; real exchange rate; Russia (search for similar items in EconPapers)
JEL-codes: C51 E00 (search for similar items in EconPapers)
Date: 2009-05-01
New Economics Papers: this item is included in nep-cba, nep-ifn, nep-mac, nep-opm and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Determination of the Real Exchange Rate of the Ruble and Assessment of Long-Run Policy of Real Exchange Rate Targeting (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:18549

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