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Analysis of Factors Affecting The Dynamics of The Real Ruble Exchange Rate in Modern Economy of Russia

ФИО студента: Valueva Anastasiia

Руководитель: Oleg O. Zamkov

Кампус/факультет: International College of Economics and Finance

Программа: Double Degree Programme in Economics of the NRU HSE and the University of London (Bachelor)

Год защиты: 2021

This research paper undertakes an econometric analysis of fundamental factors affecting real effective exchange rate of ruble in modern economy of Russia. The short analysis of history of exchange rate in Russia is presented together with research about main models used for constructing exchange rate. The BEER approach to exchange rate is used in this study. ARDL and UECM models were estimated for 2 frequencies of data. The first model is an annual model of the real effective exchange rate of ruble from 1995 to 2019. The second model is based on quarterly data from 2003-2020. Both models are used to estimate short run and long run effects of fundamental variables on exchange rate of ruble. The fundamental variables were chosen according to previous empirical studies discussed in literature review. For the first model openness to trade, terms of trade, government consumption, GDP per capita, investment, inflation and dummy variable for exchange rate regime in Russia are used as fundamental variables. Openness to trade, terms of trade, government consumption, inflation and dummy variables for Covid-19 and periods of crisis in Russia are taken as determinants of real effective exchange rate of ruble for the second model. Empirical results confirm that all variables have the right sign predicted by previous studies. All dummy variables are significant in both models and have negative effect on exchange rate of ruble. The models differ a little bit in their effects and size of coefficients. For annual model it is better to use determinants with long adjustment period, while quarterly model is better for analysis of misalignments in exchange rate and policy decisions.

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