Exchange Rate Impact on Russia’s Exports: Some Evidence from an Evolutionary Co-spectral Analysis

Bouoiyour, jamal and Selmi, Refk (2014): Exchange Rate Impact on Russia’s Exports: Some Evidence from an Evolutionary Co-spectral Analysis.

Abstract

The core focus of this paper is to analyze the dynamic interactions between changes in exchange rate (nominal and real terms) and exports to GDP ratio in Russia. To this end, we apply a new approach based on a time varying dynamic coherence function, called, evolutionary co-spectral analysis. Our results put in evidence that coherence pattern differs over time, suggesting that nonlinearities are an important issue when assessing the focal relationship. These observed outcomes change substantially in terms of magnitude when subtracting energy, while differential price stills the major player. We can attribute these findings to the limited effectiveness of exchange rate policy and the inefficiency of sterilization coupled with a lack of competitiveness of banking sector.

• Item Type: MPRA Paper
• Language: English
• Keywords: Exchange rate; exports; time varying dynamic coherence function; Russia.
• Subjects: C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling; F - International Economics > F1 - Trade > F14 - Empirical Studies of Trade

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