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Title:Can a pure real business cycle model explain the real exchange rate: The case of Ukraine PDF Logo
Authors:Onishchenko, Kateryna
Issue Date:2011
Series/Report no.:Cardiff Economics Working Papers E2011/17
Abstract:Real exchange rate (RER) is an important instrument for restoring sustainable economic growth in the small open economy with large export share. RER of Ukrainian currency can be explained within the real business cycle (RBC) framework without any forms of nominal rigidities. Fitting Ukrainian quarterly data for the period of 1996:Q1-2009:Q3 into the small open economy real business cycle model and testing it by method of indirect inference shows that RER can be reproduced by RBC framework. The generated pseudo-samples for RER by method of bootstrapping allow to obtain the distribution of the best fit ARIMA(2,1,4) parameters and to show with the Wald statistics that those parameters lie within 95% confidence intervals of those estimated for bootstrapped pseudo Q parameters.
Subjects:sustainable economic growth
business cycle
real exchange rates
small open economy
indirect inference
ARIMA
JEL:E31
E32
E37
F31
F37
Document Type:Working Paper
Appears in Collections:Cardiff Economics Working Papers

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