Оценивание равновесного реального обменного курса российского рубля Report as inadecuate




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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.



Item Type: MPRA Paper -

Original Title: Оценивание равновесного реального обменного курса российского рубля-

English Title: Estimation of the Equilibrium Real Exchange Rate for Russia-

Language: Russian-

Keywords: macroeconomics; equilibrium real exchange rate; Russia-

Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space ModelsF - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F41 - Open Economy MacroeconomicsF - International Economics > F3 - International Finance > F31 - Foreign Exchange-





Author: Shumilov, Andrei

Source: https://mpra.ub.uni-muenchen.de/42978/



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