Resumen de Exchange market pressure and regional price spillovers In Russia, Ukraine, and Belarus
The economies of Russia, Ukraine, and Belarus have long been undergoing an uneven process of regional integration, but at the same time face the lasting effects of the 2008 Global Financial Crisis. This study examines different measures of Exchange Market Pressure (EMP), which captures currency depreciations and central-bank measures to offset them, for these three countries. We then enter them into vectors that include Russian and foreign stock prices and commodity prices. Impulse response functions and variance decompositions uncover a number of spillovers, particularly when our “benchmark” EMP measure is used. We find evidence of one-way transmission from Russia to Ukraine and Belarus, and from Russian stock prices to the ruble.
