The Impact of Central Bank Communications on Exchange Rate

Student: Tolmashova Marina

Educational Programme: Applied Economics (Master)

Year of Graduation: 2017

In this work was studied the impact of Central Bank communications on the exchange rate ruble/U.S. dollar. This question becomes particularly important, because the exchange rate was floating after 2014, before 2014 there was exchange rate corridor, so the analysis was conducted for two periods 2010-2014, 2014-2017. For estimating the impact of Central Bank communications we use VAR/VECM. Results of rhis work, that for both periods there is not statistically significant effect of central bank communication on the exchange rate. Possible explanation is that in the period of 2010-2014 Central Bank communication was informative character about current economic situation and in the period 2014-2017 was a crisis, because there was a steep decline of oil price. Therefore, the Central Bank could not change expectations of market participants significantly.

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