Оценивание равновесного реального обменного курса российского рубля

Estimation of the Equilibrium Real Exchange Rate for Russia

Andrei Shumilov and Kirill Sosunov

MPRA Paper from University Library of Munich, Germany

Abstract: Following methodological approach proposed by Edwards, the paper estimates empirically Russia's equilibrium real exchange rate (ERER) for the period 1995–2003. ERER is defined as the relative price of non-tradables to tradables consistent with the simultaneous achievement of internal and external balances of the economy. Reduced form solution of simultaneous equations system relates ERER to a set of variables called fundamentals. These variables are identified as terms of trade, production of non-tradables, and capital flows; and the reduced form equation is estimated using Johansen cointegration technique. Effects of monetary and fiscal policies’ variables on the short-run dynamics of the real exchange rate and the speed of its adjustment towards the equilibrium are also investigated within a framework of error-correction model.

Keywords: macroeconomics; equilibrium real exchange rate; Russia (search for similar items in EconPapers)
JEL-codes: C32 F31 F41 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (18)

Published in Ekonomicheskii zhurnal VShE 2.9(2005): pp. 216-229

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Journal Article: Оценивание равновесного реального обменного курса российского рубля (2005)
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