Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/119504
Authors: 
Dreger, Christian
Fidrmuc, Jarko
Year of Publication: 
2009
Series/Report no.: 
FINESS Working Paper D.5.6
Abstract: 
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.
Subjects: 
Exchange rates
CIS countries
financial crisis
FAVAR models
JEL: 
F31
C22
G15
Document Type: 
Working Paper

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