How the oil price and other factors of real exchange rate dynamics affect real GDP in Russia

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How the oil price and other factors of real exchange rate dynamics affect real GDP in Russia. / Polbin, Andrey; Skrobotov, Anton; Zubarev, Andrey.

In: Emerging Markets Finance and Trade, Vol. 56, No. 15, 2020, p. 3732-3745.

Research output: Contribution to journal › Article › peer-review

Author

Polbin, Andrey ; Skrobotov, Anton ; Zubarev, Andrey. / How the oil price and other factors of real exchange rate dynamics affect real GDP in Russia. In: Emerging Markets Finance and Trade. 2020 ; Vol. 56, No. 15. pp. 3732-3745.

BibTeX

@article{4014ca9766714b0696fb836ffa27b525,

title = "How the oil price and other factors of real exchange rate dynamics affect real GDP in Russia",

abstract = "This article studies the main sources of macroeconomic fluctuations in Russia. We use SVARX approach with long-run restrictions to identify an oil price shock, a nominal shock and two types of productivity shocks. A specific Balassa–Samuelson-type productivity shock differs from a general productivity shock in its ability to affect real exchange rate in the long run. We found that the Balassa–Samuelson-type shocks account for a significant part (about a half of all fluctuations) of real exchange rate movements, which also affected real GDP dynamics. Oil price dynamics was the most important source of real GDP and real exchange rate fluctuations, but our alternative specification says that global demand shocks seem to be responsible for more fluctuations of Russian GDP than oil market–specific shocks.",

keywords = "Balassa-Samuelson effect, C32, F41, global economic activity, long-run restrictions, O47, oil market, oil price, sign restrictions, SVAR",

author = "Andrey Polbin and Anton Skrobotov and Andrey Zubarev",

note = "Publisher Copyright: {\textcopyright}, Copyright {\textcopyright} Taylor & Francis Group, LLC.",

year = "2020",

doi = "10.1080/1540496X.2019.1573667",

language = "English",

volume = "56",

pages = "3732--3745",

journal = "Emerging Markets Finance and Trade",

issn = "1540-496X",

publisher = "M.E. Sharpe Inc.",

number = "15",

}

RIS

TY - JOUR

T1 - How the oil price and other factors of real exchange rate dynamics affect real GDP in Russia

AU - Polbin, Andrey

AU - Skrobotov, Anton

AU - Zubarev, Andrey

PY - 2020

Y1 - 2020

N2 - This article studies the main sources of macroeconomic fluctuations in Russia. We use SVARX approach with long-run restrictions to identify an oil price shock, a nominal shock and two types of productivity shocks. A specific Balassa–Samuelson-type productivity shock differs from a general productivity shock in its ability to affect real exchange rate in the long run. We found that the Balassa–Samuelson-type shocks account for a significant part (about a half of all fluctuations) of real exchange rate movements, which also affected real GDP dynamics. Oil price dynamics was the most important source of real GDP and real exchange rate fluctuations, but our alternative specification says that global demand shocks seem to be responsible for more fluctuations of Russian GDP than oil market–specific shocks.

AB - This article studies the main sources of macroeconomic fluctuations in Russia. We use SVARX approach with long-run restrictions to identify an oil price shock, a nominal shock and two types of productivity shocks. A specific Balassa–Samuelson-type productivity shock differs from a general productivity shock in its ability to affect real exchange rate in the long run. We found that the Balassa–Samuelson-type shocks account for a significant part (about a half of all fluctuations) of real exchange rate movements, which also affected real GDP dynamics. Oil price dynamics was the most important source of real GDP and real exchange rate fluctuations, but our alternative specification says that global demand shocks seem to be responsible for more fluctuations of Russian GDP than oil market–specific shocks.

KW - Balassa-Samuelson effect

KW - C32

KW - F41

KW - global economic activity

KW - long-run restrictions

KW - O47

KW - oil market

KW - oil price

KW - sign restrictions

KW - SVAR

UR - http://www.scopus.com/inward/record.url?scp=85062358620&partnerID=8YFLogxK

U2 - 10.1080/1540496X.2019.1573667

DO - 10.1080/1540496X.2019.1573667

M3 - Article

AN - SCOPUS:85062358620

VL - 56

SP - 3732

EP - 3745

JO - Emerging Markets Finance and Trade

JF - Emerging Markets Finance and Trade

SN - 1540-496X

IS - 15

ER -

ID: 92712321