Dreger, Christian and Fidrmuc, Jarko (2011) Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a Factor-Augmented Vector Autoregressive (FAVAR) Analysis. EMERGING MARKETS FINANCE AND TRADE, 47 (4). pp. 49-58. ISSN 1540-496X,
Full text not available from this repository. (Request a copy)Abstract
We investigate the likely sources of exchange rate dynamics in selected member countries of the Commonwealth of Independent States (CIS; Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2010). Evidence is based on country VARs augmented by a regional common-factor structure (FAVAR model). The models include nominal exchange rates, the common factor of exchange rates in the CIS countries, and international drivers such as global trade, share prices, and oil price. Global, regional, and idiosyncratic shocks are identified in a standard Cholesky fashion. Their relevance for exchange rates is explored by a decomposition of the variance of forecast errors. The impact of global shocks on the development of exchange rates has increased, particularly if financial shocks are considered. Because of the recent global financial crisis, regional shocks have become more important at the expense of global shocks.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | MONETARY-POLICY; REAL; RUSSIA; MODELS; CIS countries; exchange rates; FAVAR models; financial crisis |
| Subjects: | 900 History & geography > 940 General history of Europe |
| Divisions: | Institute for East and Southeast European Studies (IESES) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 08 Jun 2020 06:26 |
| Last Modified: | 08 Jun 2020 06:26 |
| URI: | https://pred.uni-regensburg.de/id/eprint/20565 |
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