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Regular version of the site

Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Vitalii Lebedev
Analysis of Impact of Exchange Rate Volatility RUB/USD on export of Russian Federation
Economics
(Bachelor’s programme)
8
2016
In this work the influence of nominal exchange rate volatility RUB/USD on export of Russian Federation is investigated. The previous researches got distinct results: both positive and negative effect of exchange rate volatility on export is possible, as well as this influence may be even insignificant. In this article the quarterly data of export, real effective exchange rate RUB/USD, nominal exchange rate RUB/USD, Russian industrial production during the time span from the first quarter of 2000 to the third quarter of 2014. In order to estimate nominal exchange rate volatility RUB/USD, ARCH is used. After estimation of exchange rate volatility, given the fact that it is essential to investigate the influence of exchange rate volatility on export, ADL model, which incorporates following variables, in addition to estimated exchange rate volatility: real effective exchange rate and industrial production, is built. In the obtained model real effective exchange rate and industrial production have an expected positive impact on export. According to the obtained results, the growth of exchange rate volatility in the previous period leads to increase in export. The conducting of determination of causality between exchange rate volatility and export shows that the mutual influence of exchange rate volatility and export is found, which may distort the obtained result from the ADL model.

Keywords: export, exchange rate volatility, ARCH model, time-varying volatility

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