Elena, Trukhacheva and Kirill, Sossounov (2007): The role of home and foreign prices on tradables and nontradables in RER fluctuations in Russia.
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Abstract
The aim of this work is to analyze the factors responsible for RER appreciation in 2000—2006 years in Russia. Particularly, this study empirically evaluates how closely real exchange rate movements are related to movements in the relative price of nontraded to traded goods and to changes in the relative prices of tradable goods across countries in the data. The paper investigates the quarterly sample on Russian data in the period of RER appreciation: 2000.Q1- 2006.Q4. The macro data on price indices, GDP, RER etc. are taken from the official Goskomstat statistics. The central tool of analysis is the variance decomposition. The main hypothesis that is tested is the violation of the law of one price. The analytical papers of Ariel Burstein, Martin Eichenbaum, Sergio Rebelo and also the papers of Caroline Betts and Timothy Kehoe are considered as a basis for research approach in this study.
Item Type: | MPRA Paper |
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Original Title: | The role of home and foreign prices on tradables and nontradables in RER fluctuations in Russia |
English Title: | The role of home and foreign prices on tradables and nontradables in RER fluctuations in Russia |
Language: | English |
Keywords: | Real Exchange Rate, Russia |
Subjects: | E - Macroeconomics and Monetary Economics > E0 - General > E00 - General |
Item ID: | 18550 |
Depositing User: | kirill sosunov |
Date Deposited: | 12 Nov 2009 17:41 |
Last Modified: | 29 Sep 2019 04:39 |
References: | Betts, Caroline and Timothy Kehoe. U.S. Real Exchange Rate Fluctuations and Relative Price Fluctuations // Journal of Monetary Economics, 2005. Betts, Caroline and Timothy Kehoe. Real Exchange Rate Movements and Relative Price of Nontraded goods // Federal Reserve Bank of Minneapolis, Research Department Staff Report, 2001. Burstein, Ariel, Martin Eichenbaum and Sergio Rebelo. Large Devaluations and the Real Exchange Rate // NBER Working paper No. 10986, 2004. Burstein, Ariel, Martin Eichenbaum and Sergio Rebelo. The Importance of Nontradable Goods’ Prices in Cyclical Real Exchange Rate Fluctuations // NBER Working paper No. 11699, 2005. Engel, Charles. Real Exchange Rates and Relative Prices – An Empirical Investigation // Journal of Monetary Economics, 32: 35–50, 1993. Engel, Charles. Accounting for U.S. Real Exchange-rate Changes // Journal of Political Economy, 107: 507–538, 1999. Krugman, Paul R., and Maurice Obstfeld, International Economics: Theory and Policy, 1991, 2nd ed. Rogoff, Kenneth, Maurice Obstfeld. Foundations of International Macroeconomics. The MIT Press, 1996. |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/18550 |