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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

Abstract: 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
Date: 2018-02
New Economics Papers: this item is included in nep-cis and nep-tra
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Persistent link: https://EconPapers.repec.org/RePEc:rnp:wpaper:021808

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