Modeling Russia’s exchange rate in the long-run
Irina Dubova ()
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Irina Dubova: University of Duisburg-Essen
International Economics and Economic Policy, 2016, vol. 13, issue 3, No 11, 499-518
Abstract This paper investigates long-run behavior of Russian real effective exchange rate. Due to high dependence on natural resources’ exports and, at the same time, absence of stable domestic policy, unexpected and/or excessive changes in the real exchange rate might negatively affect the Russian economy, causing large welfare costs. Since the determinants as well the causal links to different fundamental determinants are not straightforward, we employ the Johansen cointegration framework in order to determine factors that drive real exchanges rate in the long run. Compared to previous research on the Russian exchange rate, we expand the period of observations and construct potential determinants in a not traditional way, but as differences between domestic and foreign variables. This proceeding might also be relevant for researches, dedicated to another countries’ exchange rates.
Keywords: Equilibrium real exchange rate; Russia; Cointegratio (search for similar items in EconPapers)
JEL-codes: F31 F41 (search for similar items in EconPapers)
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