دانلود مقاله ISI انگلیسی شماره 8572
عنوان فارسی مقاله

انحراف نرخ ارز واقعی: سرآغازی برای بحران؟

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
8572 2006 24 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Real exchange rate misalignment: Prelude to crisis?
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Economic Systems, Volume 30, Issue 3, October 2006, Pages 207–230

کلمات کلیدی
تعادل نرخ ارز واقعی - ریختن - هم انباشتگی - پیش بینی
پیش نمایش مقاله
پیش نمایش مقاله انحراف نرخ ارز واقعی: سرآغازی برای بحران؟

چکیده انگلیسی

A model of the long-run equilibrium real exchange rate based upon macroeconomic fundamentals is employed to calculate real exchange rate misalignments for Poland and Russia during the 1990s using the Beveridge and Nelson (Beveridge, S., Nelson, C., 1981. A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle. J. Monetary Econ. 7, 151–74) decomposition of macrofundamentals into transitory and permanent components. Short-run movements of the real exchange rate are estimated with ARIMA and GARCH error correction specifications. The different nominal exchange rate regimes of the two countries generate different levels of misalignment and different responses to exogenous shocks. The average misalignment in Russia is substantially greater than that in Poland, indicating incipient pressures to devalue the ruble immediately preceding the August 1998 crisis. The half-life of an exogenous shock is found to be much shorter for Poland than for Russia in the pre-crisis period. Dynamic forecasts indicate that the movements of the real exchange rate in the post-crisis period are significantly different from those in the pre-crisis period. Thus, the currency crisis in Russia could not be anticipated with the movements of the real exchange rate estimated with the macroeconomic fundamentals.

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