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Factors of the Russian ruble exchange rate dynamics in the 2000s and 2010s
https://doi.org/10.32609/0042-8736-2020-8-5-22
Abstract
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.
Keywords
real exchange rate,
nominal exchange rate,
ruble,
terms of trade,
Balassa—Samuelson effect,
budget rule
JEL: C32, E58, F41, O24
About the Authors
A. V. Bozhechkova
Russian Presidential Academy of National Economy and Public Administration; Gaidar Institute for Economic Policy
Russian Federation
Moscow
Russian Federation
Moscow
S. G. Sinelnikov-Murylev
Russian Foreign Trade Academy
Russian Federation
Moscow
Russian Federation
Moscow
P. V. Trunin
Russian Presidential Academy of National Economy and Public Administration; Gaidar Institute for Economic Policy
Russian Federation
Moscow
Russian Federation
Moscow
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Review
For citations:
Bozhechkova A.V., Sinelnikov-Murylev S.G., Trunin P.V. Factors of the Russian ruble exchange rate dynamics in the 2000s and 2010s. Voprosy Ekonomiki. 2020;(8):5-22. (In Russ.) https://doi.org/10.32609/0042-8736-2020-8-5-22
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