Testing the Asymmetric Convergence of the Real Exchange Rate to Equilibrium During the Managed Ruble Exchange Rate Regime
Тестирование ассиметричной сходимости реального обменного курса к равновесию во время режима управляемого курса рубля
Anton Skrobotov () and
Nikita Fokin ()
Working Papers from Russian Presidential Academy of National Economy and Public Administration
In the paper, an attempt is made to take into account the asymmetric reaction of the Bank of Russia to the positive and negative shocks of external economic conditions during the period from January 1999 to October 2014. For this, the nonlinear cointegrating regression with real exchange rate and real oil prices is modeled using the threshold vector error correction model (TVECM).
Keywords: real exchange rate; monetary policy; The Central Bank of Russia; threshold error correction model; TVECM model (search for similar items in EconPapers)
Pages: 20 pages
New Economics Papers: this item is included in nep-cis and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:rnp:wpaper:021808
Access Statistics for this paper
More papers in Working Papers from Russian Presidential Academy of National Economy and Public Administration Contact information at EDIRC.
Bibliographic data for series maintained by RANEPA maintainer ().