Factor Analysis of the Dynamics of the Real Exchange Rate of the Ruble

Анализ факторов динамики реального валютного курса рубля

Alexandra Bozhechkova and Pavel Trunin

Published Papers from Russian Presidential Academy of National Economy and Public Administration

Abstract: The purpose of this paper is to conduct a comprehensive analysis of the influence of factors on the dynamics of the real exchange rate. Firstly, we studied the basic theoretical and empirical models of the real exchange rate-tion, identified the key factors of its short and long-Din omy, including differential productivity, terms of trade, net foreign assets, government investment, import tariffs, etc. Second, analysis of the main trends of macroeconomic indicators that impact on the formation of the real exchange rate of the ruble in the pre- and post-crisis periods. The reasons for the differences in the degree of appreciation of the real exchange rate of a number of commodity-exporting countries in the 2000s. Thirdly, on the basis of a-vector autoregression model evaluated the long-term-elastic stey real effective exchange rate on such fundamental factors as the productivity differential, the real price of oil, the net outflow of private capital, the share of government spending in GDP for the period 1 sq. 1999 - 1Q. 2014 conducted by analysis of variance showed that more than 60% of the variance of the real effective exchange rate is due to innovations in the real price of oil, and the differential productivity. Fourthly, as a result of the structure of the pulse-response functions were significant effects of shocks on the dynamics of the fundamental factors of the real exchange rate.

Keywords: real exchange rate; russian ruble (search for similar items in EconPapers)
Pages: 88 pages
Date: 2015-03
New Economics Papers: this item is included in nep-cis and nep-opm
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