Exchange Rate Modeling: Medium-Term Equilibrium Dynamics

Kuzmin, Anton

doi:10.25046/aj040431

Cited by 5 publications

(8 citation statements)

References 19 publications

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“…In the basic version, discrete flows are considered in the previous author's works [9], [10]. For exchange rates that have market pricing, in a certain period we defined in the i-th market transaction: i e -the nominal exchange rate, i D -the volume of the market transaction in the foreign currency, i R -the volume of the market transaction in the national currency.…”

Section: Conceptual Framework Of Exchange Rate Modellingmentioning

confidence: 99%

“…As a result: (4) By analogy with the previously used discrete IFEER-concept [9][10] we introduce the weight function w(t) for the exchange rate. In the discrete version, the weight function w(i) showed the contribution of the particular i-th transaction, depending on the volume in the foreign currency:…”

Section: Astesj Issn: 2415-6698mentioning

confidence: 99%

“…The dependence (9) One of the most important factors of the model is the indicator of the international competitive advantages. This is the real bilateral exchange rate in the previous period t-1:…”

Section: The Two-country Model: the Level Of The Current Account Balancementioning

confidence: 99%

“…In this context, it is important to note that these functions must be modified for short-term exchange rate modeling in relation to the previously discussed functions in the author's works [9][10].…”

Section: The Two-country Model: the Level Of The Capital Flowsmentioning

confidence: 99%

“…Medium-term modeling of the exchange rates including the Russian ruble, based on the IFEER-concept (International Flows Equilibrium Exchange Rate concept), was carried out by [9]- [10]. This concept is based on mathematical modeling of the foreign trade operations and the capital flows as the most important macroeconomic fundamental determinants of the exchange rate movements.…”

Section: Introductionmentioning

confidence: 99%

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Short-Term Dynamic Exchange Rate Model: IFEER Concept Development

Kuzmin¹

2020

Adv. sci. technol. eng. syst. j.

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The new model of the short-term exchange rate dynamics was constructed. First of all, the most interesting were the reasons of the deviation from the medium-term equilibrium. The author's IFEER-concept (International Flows Equilibrium Exchange Rate) was used as a base and it was developed. In this study, due to the short-term modeling period the differential approach was applied. The result was an integrated version of the exchange rate dynamics model. The main result of mathematical modeling is a nonlinear multi-factor functional dependence of the exchange rate. The result dynamic functional dependence differs from the previous medium-term dependencies by the type of the internal dynamic function. Economically, this function in the short-term period is responsible for explosive changes in the exchange rate dynamics. The basis for mathematical modeling was the system of fundamental economic factors that affect the dynamics of the exchange rate. The influence of crisis events on the Russian financial market in the short term was studied. The conducted research allowed us to analyze and evaluate the quantitative impact of the shortterm effects of the dynamics of the exchange rate of the Russian ruble to the US dollar.

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Section: Conceptual Framework Of Exchange Rate Modellingmentioning

confidence: 99%

Section: Astesj Issn: 2415-6698mentioning

confidence: 99%

Section: The Two-country Model: the Level Of The Current Account Balancementioning

confidence: 99%

Section: The Two-country Model: the Level Of The Capital Flowsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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