We continue publishing the four-part consultation of professor of Moscow School of Economics of Lomonosov MSU Dean Fantazzini. The first part, that appeared in 2 (10), 2008 of the journal, dealt with the introduction to the problem (section one: basic concepts and types of financial risks,...

This paper examines the relationship between the Russian ruble/US dollar exchange rate and global oil prices using autoregressive model with Markovian regime shifts. Empirical analysis on daily data for 2009–2019 shows that exchange rate dynamics is best described by three regimes,...

Analysis of fundamental factors of the CBR’s exchange rate lay at the basis of this publication. The authors review papers which address problems of index construction of real effective exchange rate as well as models of evaluation of the real equilibrium exchange rate. They also analyze...

In this paper we analyze the relationship between the real Russian ruble exchange rate and real oil prices using the error correction model with Markov regime switching, which allows for changes in exchange rate policy. We find that during the period 1999-2018 real exchange rate dynamics was...

The study compares the explanatory power of two alternative long-term determinants of the real effective exchange rate of the Russian ruble, oil prices and oil export revenues, in three variants of the error correction model. The linear model shows that during the period of managed nominal...

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...

The article proposes a new approach for estimation of the business cycle component of the Russian GDP. At the first step, the non-stationary component consisting of a deterministic trend with structural breaks, and components characterizing the long-run impact of oil prices on the Russian...

The paper examines the quality of forecasts of Russian GDP and its components (household consumption, investment, exports and imports) using a model with Bayesian shrinkage of time-varying parameters (TVP) based on hierarchical normal-gamma prior. Such models account for the possible...