Financial Analytics: Science and Experience

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Financial Analytics: Science and Experience

3(141) - 2013 January

Empirical analysis of the Russian ruble exchange rate dynamics

Vol. 6, Iss. 3, JANUARY 2013

Available online: 28 January 2013

Subject Heading: Financial market

JEL Classification:

Melnikov R.M. Doctor of Economics, Professor of department "Public Regulation of Economy", the International Institute of Public Administration and Management of the Russian Academy of National Economy and Public Administration under the President of the Russian Federation
rmmel@mail.ru

In the article influence of macroeconomic factors and indicators of the financial markets on dynamics of a ruble exchange rate to US dollar and euro is considered. It is noted that coherence of movement of a nominal rate of ruble and external factors defining its equilibrium values only on the medium-term horizon that complicates exact forecasting of short-term fluctuations of an exchange rate is presented. Temporary deviations of a market exchange rate from equilibrium which open the possibilities of extraction of speculative profit, but at the same time generate risks of acquisition or sale of currency assets on non-equilibrium prices.

Keywords: equilibrium exchange rate, exchange rate risk, error correction model

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ISSN 2311-8768 (Online)
ISSN 2073-4484 (Print)

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