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Currency integration of Russia and other CIS countries: what is changing in a crisis?

Валютная интеграция России и других стран СНГ: что меняется в кризис?

Afanasiev, Dmitriy (Афанасьев, Дмитрий) () and Elena Fedorova ()
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Afanasiev, Dmitriy (Афанасьев, Дмитрий): Financial University Under the Government of Russian Federation
Elena Fedorova: Financial University Under the Government of Russian Federation, NRU HSE

Authors registered in the RePEc Author Service: Dmitriy O. Afanasyev

Economic Policy, 2016, vol. 2, 133—147

Abstract: The work carried out assessment of the level of monetary integration of Russia with other CIS member states, and examines the impact of economic crises on it and verified the presence of spillover effects for the currency channel. The methodology used includes correlation analysis of relative changes in nominal exchange rate of the national currencies of owls and econometric modeling Pressure index EMPI currency market using vector autoregression model with Markov switching mode MRS-VAR (Markov regimeswitching vector auto regression). On the basis of the study revealed that the integration into the stable periods of operation of the CIS economies is relatively weak, with the exception of Kazakhstan. At the same time, Belarus and Ukraine, it was found a significant increase in periods of financial instability.

Keywords: crisis; the index of pressure on the currency market; the channels flow crisis; with Markov switching model (search for similar items in EconPapers)
JEL-codes: C50 F15 G15 (search for similar items in EconPapers)
Date: 2016
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