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Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a Factor-Augmented Vector Autoregressive (FAVAR) Analysis

Wirtschaftswissenschaften

Autoren:
Fidrmuc, Jarko, Dreger, Christian
Titel:
Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a Factor-Augmented Vector Autoregressive (FAVAR) Analysis
Kurzzitat:
Fidrmuc, Jarko, Dreger, Christian: Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a Factor-Augmented Vector Autoregressive (FAVAR) Analysis, Emerging Markets Finance & Trade, 2011 (4): 49-58.
Publikationstyp:
Originalarbeiten in wissenschaftlichen Fachzeitschriften
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
Kontakt:
Zeppelin-Lehrstuhl für Internationale Wirtschaftstheorie & -politik (eingerichtet 05 / 2011)

Am Seemooser Horn 20
88045 Friedrichshafen

Tel: +49 7541 6009-1241
Fax: +49 7541 6009-1299
Email: jarko.fidrmuc@zu.de
http://www.zeppelin-university.de/deutsch/lehrstuehle/internationales_management/internationales_management_profil.php
Forschungsbericht der Abteilung für das Jahr 2011