Analyzing dynamics and forecasting real effective exchange rates for BRICS countries (1994–2016)

  • Вячеслав Михайлович Шавшуков Санкт-Петербургский государственный университет, Российская Федерация, 199034, Санкт-Петербург, Университетская наб., 7–9 https://orcid.org/0000-0002-3218-0718
  • Алексей Владимирович Воронцовский Санкт-Петербургский государственный университет, Российская Федерация, 199034, Санкт-Петербург, Университетская наб., 7–9 https://orcid.org/0000-0001-6473-1951
  • Людмила Федоровна Вьюненко Санкт-Петербургский государственный университет, Российская Федерация, 199034, Санкт-Петербург, Университетская наб., 7–9 https://orcid.org/0000-0002-9741-3949

Аннотация

В статье проведен анализ динамики индексов реальных эффективных обменных курсов валют стран BRICS и евровалют (на примере USD и GBP). Методологической основой анализа поведения валют является модификация кейнсианской теории трех рынков с включением в нее Forex. Полученные данные выявили закономерности поведения валют BRICS за 1994–2017 гг. Подтверждена зависимость курсов экспортно-ориентированных экономик от конъюнктуры международных рынков реальных и финансовых активов. Показана высокая волатильность валют (в среднем 50 % по группе) в зоне до величины индекса BIS real effective exchange rate (REER) = 100 (CPI-Base 2010). Показано, что в долгосрочном фундаментальном анализе (1994–2017) валюты BRICS демонстрируют рост стабильности. При этом валютный режим фиксированного курса (на примере юаня) был более эффективен в период становления национального сегмента глобальной экономики. Для технического, краткосрочного анализа курсовые тренды «вниз» отражают дебютные трудности вхождения экономик и финансов BRICS в глобальную финансово-экономическую среду. Высокая турбулентность и волатильность REER стран BRICS в диапазоне 60–130 % являлась результатом влияния глобального кризиса 2008–2009 гг. и нефтяных шоков 2014–2015 гг. Нахождение REER главным образом в зоне ниже индекса 100 % отражает низкую корпоративную и глобальную конкурентоспособность экономик BRICS, слабость публичных и корпоративных финансов, нестабильность валют. Исследование дает прогноз долгосрочного тренда усиления стабильности валют как результат повышения эффективности национальных экономик, создания финансовой инфраструктуры BRICS: New Development Bank (capital $100 bln) and Pool Contingent Reserve Arrangement (startup capital $100 bln), увеличение доли национальных валют во взаимных расчетах. На примере BIS REER для валют стран БРИКС показана возможность построения краткосрочного прогноза динамики REER, основанного на модели полиномиальных остатков и статистическом моделировании. Результаты моделирования краткосрочной динамики REER могут быть использованы для прогнозирования поведения валют, хеджирования участников внешнеэкономической деятельности и валютной политики центральных банков.

Ключевые слова:

страны БРИКС, валюты, эффективные обменные курсы, BIS REER, фундаментальный анализ, волатильность, среднесрочное прогнозирование

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Литература


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Опубликован
2019-02-17
Как цитировать
Шавшуков, В. М., Воронцовский, А. В., & Вьюненко, Л. Ф. (2019). Analyzing dynamics and forecasting real effective exchange rates for BRICS countries (1994–2016). Вестник Санкт-Петербургского университета. Экономика, 34(4), 568 - 590. https://doi.org/10.21638/spbu05.2018.405
Раздел
Мировая экономика и международные финансы