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Price dynamics in the Belarusian black market for foreign exchange

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2014

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Huett, Hannes
Krapf, Matthias

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https://doi.org/10.1016/j.jinteco.2014.06.002
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Journal of International Economics. 2014, 94(1), pp. 169-176. ISSN 0022-1996. eISSN 1873-0353. Available under: doi: 10.1016/j.jinteco.2014.06.002

Zusammenfassung

Using unique data from an internet-based foreign-exchange trading platform, we show that the black market efficiently incorporated public information on the state of the Belarusian economy during the Balance of Payments crisis of 2011. Between May and October 2011, the government repeatedly devalued the Belarusian ruble and eventually abandoned its fixed exchange rate regime. Measures derived from black market transaction data have significant predictive power for these devaluations. The significance of these black market measures survives even when we include standard macroeconomic indicators in our forecasting model. In line with standard economic theory, activity in the black market has dried up subsequently.

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Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

Black market, FX market, Technological progress, Price setting

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ISO 690HUETT, Hannes, Matthias KRAPF, Selver Derya UYSAL, 2014. Price dynamics in the Belarusian black market for foreign exchange. In: Journal of International Economics. 2014, 94(1), pp. 169-176. ISSN 0022-1996. eISSN 1873-0353. Available under: doi: 10.1016/j.jinteco.2014.06.002
BibTex
@article{Huett2014Price-29972,
  year={2014},
  doi={10.1016/j.jinteco.2014.06.002},
  title={Price dynamics in the Belarusian black market for foreign exchange},
  number={1},
  volume={94},
  issn={0022-1996},
  journal={Journal of International Economics},
  pages={169--176},
  author={Huett, Hannes and Krapf, Matthias and Uysal, Selver Derya}
}
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