Data and algorithms for the project of sterilized intervention effectiveness evaluation on Russian data 2014-2017

2019-07-19T08:22:47Z (GMT) by Andrey Shulgin
This project presents tests for sterilized intervention effectiveness evaluation for small open commodity exporting economy. The time series used in the estimation includes 618 daily observations from 6 November 2014 to 20 April 2017. The oil price is the price of the OPEC basket in US dollars per barrel. The forex rate is the average spot rate (with delivery TODAY) on the Moscow Interbank Currency Exchange (MICEX) measured in Russian rubles per US dollar. The calculation of the sterilized intervention shock is based on the results of repo auctions which were related to average daily export of oil, gaz and oil product taken from Russian Balance of Payments. The data are stored in the data_daily_till_20_04_17.mat file which is in the archive. They are also contained in JMulti project ( archive). In both sources the data include information about repo auctions Bank of Russia (BoR) conducted in 2014-2017. Repo maturity: 7 days (series dz7, dzpos7, dzneg7 in Matlab; series Z7, Zpos7, Zneg7 in JMulti) 28 days (series dz28, dzpos28, dzneg28 in Matlab; series Z28, Zpos28, Zneg28 in JMulti) 1 year (series dz1y, dzpos1y, dzneg1y in Matlab; series Z1y, Zpos1y, Zneg1y in JMulti) In all estimation procedures I use aggregated series: (series dz, dzpos, dzneg in Matlab; series Z, Zpos, Zneg in JMulti). "pos" means positive interventions (more USD distributed by BoR) "neg" means negative interventions (less USD distributed by BoR) The project includes 1. Estimation of theoretical general equilibrium model constructed for exchange rate determination in small open commodity exporting economy. It is performed in Dynare/Matlab software. 2. Estimation of vector error correction model. It is performed in JMulti software. Both modes are used for evaluation of sterilized intervention effectiveness. It means that stable relationship between exchange rate and interventions is explored.




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