Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/144566
Authors: 
Dreger, Christian
Fidrmuc, Jarko
Year of Publication: 
2011
Citation: 
[Journal:] Emerging Markets Finance and Trade [ISSN:] 1558-0938 [Volume:] 47 [Issue:] 4 [Pages:] 49-58
Abstract: 
We investigate the likely sources of exchange rate dynamics in selected member countries of the Commonwealth of Independent States (CIS; Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2010). Evidence is based on country VARs 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 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 explored by a decomposition of the variance of forecast errors. The impact of global shocks on the development of exchange rates has increased, particularly if financial shocks are considered. Because of the recent global financial crisis, regional shocks have become more important at the expense of global shocks.
Subjects: 
Exchange rates
CIS countries
financial crisis
FAVAR models
JEL: 
F31
C22
G15
Persistent Identifier of the first edition: 
Additional Information: 
This publication was produced as part of the FINESS project, funded by the European Commission through the 7th Framework Programme under contract no. 217266 (http://www.finess-web.eu/).
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.