Currency Integration of Russia and Other CIS Countries: What is Changing in a Crisis?

In this paper, the estimate level of monetary integration between Russia and other CIS member states, and examines the impact of economic crises on it, as well as checks for spillover effects for the currency channel. The research methodology includes the correlation analysis of nominal exchange rates changes and econometric modeling of exchange-market pressure index EMPI based on Markov regime-switching vector auto regression model (MRS-VAR). The empirical base includes data on monthly values of exchange rates, reserves and interest rates from March 2001 to March 2015, which obtained from the database of the International Financial Statistics, as well as the official websites of the central banks of the states concerned. We can conclude that the integration of the CIS countries is relatively weak at the stable periods of functioning of the economies, except Kazakhstan. At the same time, we found the significant increasing of integration level for Belarus and Ukraine during periods of financial instability.