voprecotestВопросы экономикиVoprosy Ekonomiki0042-8736Voprosy Ekonomiki, NP10.32609/0042-8736-2020-8-5-22voprecotest-3077Research ArticleДЕНЕЖНО-КРЕДИТНАЯ ПОЛИТИКАMONETARY POLICYФакторы динамики обменного курса рубля в 2000-е и 2010-е годыFactors of the Russian ruble exchange rate dynamics in the 2000s and 2010shttps://orcid.org/0000-0002-9750-9676БожечковаА. В.BozhechkovaA. V.

Божечкова Александра Викторовна, к. э. н., с. н. с. Центра изучения проблем центральных банков РАНХиГС, завлабораторией денежно-кредитной политики Института Гайдара

Москва

Moscow

bojechkova@ranepa.ruhttps://orcid.org/0000-0001-6667-9958Синельников-МурылевС. Г.Sinelnikov-MurylevS. G.

Синельников-Мурылев Сергей Германович, д. э. н., проф., ректор

Москва

Moscow

sinel@vavt.ruhttps://orcid.org/0000-0001-8306-9422ТрунинП. В.TruninP. V.

Трунин Павел Вячеславович, д. э. н., директор Центра изучения проблем центральных банков РАНХиГС, руководитель научного направления «Макроэкономика и финансы» Института Гайдара

Москва

Moscow

pt@iep.ruРоссийская академия народного хозяйства и государственной службы при Президенте РФ; Институт экономической политики имени Е. Т. ГайдараРоссияRussian Presidential Academy of National Economy and Public Administration; Gaidar Institute for Economic PolicyRussian FederationВсероссийская академия внешней торговли Минэкономразвития РоссииРоссияRussian Foreign Trade AcademyRussian Federation20200308202008522Copyright © Voprosy Ekonomiki, NP, 20202020Voprosy Ekonomiki, NPVoprosy Ekonomiki, NPhttps://www.vopreco.ru/jour/about/submissions#copyrightNoticehttps://www.vopreco.ru/jour/article/view/3077

Рассмотрены ключевые факторы динамики валютного курса рубля в 2000-е и 2010-е годы, проанализированы особенности функционирования российского валютного рынка в условиях инфляционного таргетирования и применения бюджетного правила. Определены основные теоретические подходы к моделированию динамики реального и номинального валютных курсов, включая поведенческие модели и монетарную модель валютного курса, гипотезу непокрытого процентного паритета. Выделены важнейшие факторы долго- и краткосрочной динамики валютного курса. Представлены результаты эконометрической оценки моделей реального и номинального курсов рубля, полученной на основе динамического метода наименьших квадратов. Выявлены ключевые факторы динамики номинального курса рубля: условия торговли, дифференциал ставок процента, индекс волатильности VIX, а также операции Минфина России с иностранной валютой. Долгосрочная траектория реального курса формируется под воздействием условий торговли, эффекта Балассы – Самуэльсона и динамики чистых иностранных активов частного сектора.

The article discusses the key factors of the ruble exchange rate dynamics, analyzes the features of Russian currency market in the context of inflation targeting and the application of the budget rule. The basic theoretical approaches to modeling the dynamics of real and nominal exchange rates are presented, including behavioral models of the exchange rate, the monetary model of the exchange rate, and the hypothesis of uncovered interest parity. The most important factors of long-term and short-term dynamics of the exchange rate are revealed. The results of an econometric evaluation of the models of the real and nominal ruble exchange rates using dynamic least squares method (DOLS) are presented. It is shown that the key factors shaping the dynamics of the nominal ruble exchange rate are the terms of trade, the interest rate spread, the VIX volatility index, and the operations of the Russian Ministry of Finance under the budget rule. The long-term trajectory of the real exchange rate is formed by the terms of trade conditions, the Balassa—Samuelson effect, the dynamics of net foreign assets of the private sector.

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The authors declare that there are no conflicts of interest present.