Monetary policy shocks in the Russian economy and their macroeconomic effects

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F19%3A00508618" target="_blank" >RIV/00216208:11640/19:00508618 - isvavai.cz</a>

Výsledek na webu

<a href="http://ecpolicy.ru/images/stories/2019_4/002_.pdf" target="_blank" >http://ecpolicy.ru/images/stories/2019_4/002_.pdf</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.18288/1994-5124-2019-4-48-75" target="_blank" >10.18288/1994-5124-2019-4-48-75</a>

Jazyk výsledku

ruština

Název v původním jazyce

Soki procentnoj politiki banka rossii i ocenka ih makroekonomiceskih effektov

Popis výsledku v původním jazyce

V state provoditsa ocenka reakcii klucevyh makroekonomiceskih pokazatelej rossijskoj ekonomiki na soki klucevoj stavki Banka Rossii. S etoj celu postroena dinamiceskaa faktornaa model (DFM) rossijskoj ekonomiki so strukturnoj identifikaciej sokov metodom nalozenia ogranicenia na znaki funkcij otklikov endogennyh peremennyh. Ocenki DFM-modeli byli provedeny na “bolsih dannyh” iz 58 makroekonomiceskih i finansovyh peremennyh. Rascety pokazali, cto v rossijskoj ekonomike vrad li zametna tradicionnaa sderzivausaa reakcia urovna potrebitelskih cen v otvet na uzestocenie procentnoj politiki Banka Rossii.

Název v anglickém jazyce

Monetary policy shocks in the Russian economy and their macroeconomic effects

Popis výsledku anglicky

This section conducts an estimate of the impulse response function of key macroeconomic variables to monetary policy shocks in Russia. The estimates are carried out through a dynamic factor model (DFM) of the Russian economy with structural identification of shocks by imposing various sets of sign restrictions on the behavior of endogenous variables. We restricted first the monetary aggregate M2 only (a decrease in response to an increase of the Key rate), and then—simultaneously—M2, real effective exchange rate (an increase), and GDP (a decrease). We estimated the DFM using a large dataset of 58 macroeconomic and financial variables. The estimation results suggest that there is no decreasing response of consumer prices to an exogenous tightening of the interest rate policy of the Central Bank of Russia. This empirical evidence is supported implicitly by DFMbased predictions that under the imposition of such a decreasing response as an identifying restriction to the model, a positive interest rate shock is not transmitted through the interest rate channel of monetary policy to expected increases of the interest rates on commercial loans and private deposits. However, existing empirical evidence refutes this model-based result. Therefore, this study supports the view according to which a tightening of monetary policy in Russia is inefficient in terms of restraining inflation. In addition, monetary policy shocks negatively affect investments, retail sales, export and import, real wages, and employment. Different economic activities react differently to monetary policy shocks: exportoriented activities are not sensitive to these shocks, whereas domestic pro-cyclical activities (e.g. construction) can be substantially depressed in response to unexpected increases of interest rates. Finally, the expectations of economic agents are also significantly affected by shocks in the interest rate policy of the Bank of Russia.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2019

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Ekonomicheskaya Politika

ISSN

1994-5124

e-ISSN

2411-2658

Svazek periodika

14

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

RU - Ruská federace

Počet stran výsledku

28

Strana od-do

48-75

Kód UT WoS článku

000493370100002

EID výsledku v databázi Scopus

2-s2.0-85071762394