Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a FAVAR Analysis

Arbeitspapier

We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models 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 global drivers such as gold, oil and share prices. Global, regional and idiosyncratic shocks are identified in a standard Cholesky fashion. Based on the decomposition of the variance of forecast errors, their relevance for exchange rates is explored. As a quite robust finding, CIS exchange rates have become more vulnerable to global shocks towards the end of the sample.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: FINESS Working Paper ; No. D.5.6

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Foreign Exchange ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; International Financial Markets
• Thema: Exchange rates ; CIS countries ; financial crisis ; FAVAR models

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Dreger, Christian ; Fidrmuc, Jarko
• Ereignis: Veröffentlichung
• (wer): Deutsches Institut für Wirtschaftsforschung (DIW)
• (wo): Berlin
• (wann): 2009

Weitere Informationen

• Handle: http://hdl.handle.net/10419/119504
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ