Solving the problem of non-stationary time series. Estimating nominal exchange rate volatility ruble/dollar by using autoregressive model with distributed lags. Constructing regressions. Determination of causality between aggregate export and volatility.
Аннотация к работе
One of the first the most important works in the area of investigating the influence of exchange rate volatility on international trade is the article “The effect of exchange rate uncertainty on the prices and volume of international trade”, written by the authors P. Having made these mathematical transformations, the authors obtain following result: in the case of risk-averse exporters and importers the increase in exchange rate volatility leads to the decline in volume of international trade, while the impact of growth of exchange rate volatility on price of international trade has an ambiguous effect on price. In the case of risk-neutral exporters and importers the exchange rate volatility does not have any impact on the price and volume of international trade. Given the fact that the firms follow this “bang-bang” trading strategy, firms, which are have a comparative disadvantage in international trade, will expand their export, if exchange rate volatility goes up, because their expected cash flows from exporting will increase by a higher rate than their entry and exit costs will. In the article “Exchange rate volatility and international trade” the scientists Udo Broll and Bernhard Eckwert (1999) consider the influence of exchange rate volatility on international trade using “real option approach”: export strategy is rather similar to option, because the revenue from home sales is fixed, while the revenue from foreign sales is random, depending on fluctuations of exchange rates.This work represents an empirical research of the impact of nominal exchange rate volatility RUB/USD on export of Russian export by using the time series of real effective exchange rate RUB/USD, nominal exchange rate RUB/USD, expot of Russian Federation and Russian industrial production during approximately fourteen years: from the first quarter of 2000 to the third quarter of 2014. The obtained autoregressive model with distributed lags tells us that the value of estimated nominal exchange rate volatility in the previous period positively influence the export in the current period, as well as other variables: current values of real effective rate and industrial production and the first lag of export have an expected positive effect on current export.Information criteria for the model, incorporating only the first lags Information criteria for the model, incorporating the first two lags
Вывод
This work represents an empirical research of the impact of nominal exchange rate volatility RUB/USD on export of Russian export by using the time series of real effective exchange rate RUB/USD, nominal exchange rate RUB/USD, expot of Russian Federation and Russian industrial production during approximately fourteen years: from the first quarter of 2000 to the third quarter of 2014. In order to estimate nominal exchange rate volatility, ARCH model is applied. The obtained autoregressive model with distributed lags tells us that the value of estimated nominal exchange rate volatility in the previous period positively influence the export in the current period, as well as other variables: current values of real effective rate and industrial production and the first lag of export have an expected positive effect on current export. On the other hand, it is defined that the first lag of export affects the current exchange rate volatility. Consequently, the mutual influence of export and exchange rate volatility is observed. This fact can explain, in addition to other interpretations, the positive impact of the nominal exchange rate volatility RUB/USD on export of Russian Federation. Nevertheless, it would be a good idea for our Central Bank not to spend great efforts on stabilization of the exchange rate RUB/USD, but concentrate on stimulating economic growth in our country by reducing interest rates in order to increase private investments. However, it is clear that it is essential to conduct further research in order to find the most effective policy of Central Bank for achieving maximal economic result for Russian Federation.
Список литературы
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17. Economic Data Federal Reserve Bank of St. Louis rate volatility autoregressive export