Munich Personal RePEc Archive

Оценивание равновесного реального обменного курса российского рубля

Shumilov, Andrei and Sosunov, Kirill (2005): Оценивание равновесного реального обменного курса российского рубля. Published in: Ekonomicheskii zhurnal VShE , Vol. 9, No. 2 (2005): pp. 216-229.

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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.

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