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Modeling the real ruble exchange rate under monetary policyregime change
https://doi.org/10.32609/0042-8736-2017-4-61-78
Abstract
The paper estimates vector error correction model (VECM) for the real ruble exchange rate and real oil prices. The VECM model takes into account the structural break in short-term parameters due to the Bank of Russia monetary policy regime change in November 2014. Estimates show that the real exchange rate response to oil price shocks has dramatically changed. Before November2014 it took approximately one year to correct 50% of the real exchange rate gap due to oil prices permanent change. From November 2014 the real exchange rate adapts to oil price shocks almost instantly. The estimate of long-run elasticity of the real exchange rate on real oil prices is 0.33.
About the Author
A. Polbin
Gaidar Institute for Economic Policy; Russian Presidential Academy of National Economy and Public Administration
Russian Federation
Russian Federation
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Review
For citations:
Polbin A. Modeling the real ruble exchange rate under monetary policyregime change. Voprosy Ekonomiki. 2017;(4):61-78. (In Russ.) https://doi.org/10.32609/0042-8736-2017-4-61-78
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