Andrey Polbin Takes Part in the Seminar Real Ruble Exchange-rate under the Markov Regime Switching Model

The first presentation was delivered by Andrey Polbin, who discussed the main long-term real exchange rate determinants, the role of economic policies in a speedy adjustment of the national currency exchange rate to a long-term trend, and the importance of the Markov Switching Model in describing the real exchange rate movement patterns.

In his presentation, Alexander Kulikov, Assistant Professor of Higher Mathematics at the Moscow Institute of Physics and Technology (MIPT), described the results of empirical analysis based on the error correction model for the real exchange rate of the ruble and oil prices; the analysis had been carried out jointly with Andrey Bedin, junior researcher of the Joint Research and Educational Applied Mathematics Laboratory of the RANEPA and the MIPT. The presentation demonstrated that, as far as the real exchange rate of the ruble was concerned, two regimes could easily be discerned: one with a rapid adjustment to a long-term equilibrium in response to shocks, and the other with a slow adjustment pattern. The analysis was also applied to test the hypothesis that the two regimes followed one and the same trend, and the hypothesis was not rejected, thus again proving to be in good agreement with economic theory.

During the discussion following the presentations, Vitaly Sobol, Assistant Professor of the Chair of Probability Theory at the Moscow Aviation Institute, pointed out the importance of incorporating the capital outflow index in the system of relevant real exchange rate determinants.