Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/57785 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorDreger, Christianen
dc.contributor.authorFidrmuc, Jarkoen
dc.date.accessioned2010-10-14-
dc.date.accessioned2012-05-09T10:02:20Z-
dc.date.available2012-05-09T10:02:20Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aOsteuropa-Institut Regensburg |cRegensburgen
dc.relation.ispartofseries|aArbeiten aus dem Osteuropa-Institut Regensburg |x289en
dc.rights.accessrightsinfo:eu-repo/semantics/openAccessen
dc.subject.jelF31en
dc.subject.jelC22en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordExchange rates, CIS countries, financial crisis, FAVAR modelsen
dc.subject.stwWechselkursen
dc.subject.stwVolatilitäten
dc.subject.stwSchocken
dc.subject.stwFinanzmarktkriseen
dc.subject.stwGUS-Staatenen
dc.titleDrivers of exchange rate dynamics in selected CIS countries: Evidence from a FAVAR analysis-
dc.typeWorking Paperen
dc.identifier.ppn636775445en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.relation.projectidinfo:eu-repo/grantAgreement/EC/FP7/217266en
dc.identifier.repecRePEc:ost:wpaper:289en

Datei(en):
Datei
Größe
282.21 kB





Publikationen in EconStor sind urheberrechtlich geschützt.