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dc.contributor.authorDreger, Christianen_US
dc.contributor.authorFidrmuc, Jarkoen_US
dc.date.accessioned2010-10-14en_US
dc.date.accessioned2012-05-09T10:02:20Z-
dc.date.available2012-05-09T10:02:20Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/57785-
dc.description.abstractWe investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the last dec-ade (1999-2010). Evidence is based on country VARs augmented by a regional com-mon 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 ex-plored by a decomposition of the variance of forecast errors. The impact of global shocks to in the developments of exchange rates has increased, in particular, if financial shocks are considered. Because of the financial crisis, regional shocks have become more important at the expense of global shocks.en_US
dc.language.isoengen_US
dc.publisherOsteuropa-Inst. Regensburgen_US
dc.relation.ispartofseriesArbeiten aus dem Osteuropa-Institut Regensburg, Wirtschaftswissenschaftliche Abteilung 289en_US
dc.rights.accessrightsinfo:eu-repo/semantics/openAccess-
dc.subject.jelF31en_US
dc.subject.jelC22en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordExchange rates, CIS countries, financial crisis, FAVAR modelsen_US
dc.subject.stwWechselkursen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwSchocken_US
dc.subject.stwFinanzmarktkriseen_US
dc.subject.stwGUS-Staatenen_US
dc.titleDrivers of exchange rate dynamics in selected CIS countries: Evidence from a FAVAR analysisen_US
dc.typeWorking Paperen_US
dc.identifier.ppn636775445en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.relation.projectidinfo:eu-repo/grantAgreement/EC/FP7/217266-
Appears in Collections:Working Papers, Osteuropa-Institut Regensburg / München (OEI)
Publikationen von Forscherinnen und Forschern des DIW

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