Моделирование реального курса рубля в условиях изменения режима денежно-кредитной политики

The paper estimates vector error correction model (VECM) for the real ruble exchange rate and the real oil prices. The VECM model takes into account the structural break in short run parameters due to monetary policy regime change in November 2014. Estimates show that the real exchange rate response to oil price shocks has dramatically changed. Before November 2014 it is needed approximately one year to correct 50% of a real exchange rate gap due to oil prices permanent change. From November 2014 the real exchange rate adapts to oil price shocks almost instantly. The estimate of long-run elasticity of the real exchange rate on real oil prices is 0.33.