Economic effects of monetary policy in Russia: What do large datasets tell us?

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F20%3A00525480" target="_blank" >RIV/00216208:11640/20:00525480 - isvavai.cz</a>

Výsledek na webu

<a href="https://doi.org/10.32609/0042-8736-2020-4-31-53" target="_blank" >https://doi.org/10.32609/0042-8736-2020-4-31-53</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.32609/0042-8736-2020-4-31-53" target="_blank" >10.32609/0042-8736-2020-4-31-53</a>

Jazyk výsledku

ruština

Název v původním jazyce

Ekonomicheskie effekty monetarnoy politiki v Rossii: o chem govoryat bol'shie massivy dannykh?

Popis výsledku v původním jazyce

Sposoben li Tsentral'nyy bank RF merami protsentnoy politiki odnovremenno sderzhivat' tsenovoe davlenie i snizhat' sovokupnyy spros? Drugimi slovami, sootvetstvuyut li empiricheskie otsenki effektov monetarnoy politiki v Rossii teoreticheskim predstavleniyam i opytu razvitykh stran? Izuchenie etikh voprosov yavlyaetsya predmetom dannoy stat'i. V otlichie ot predydushchikh rabot, otsenka provoditsya dlya «bol'shikh dannykh». Aktsent sdelan tol'ko na periode posle global'nogo finansovogo krizisa 2008—2009 gg., dlya kotorogo kharakterny otkaz Banka Rossii ot politiki fiksirovannogo kursa rublya i postepennyy perekhod k rezhimu upravleniya protsentnymi stavkami. Analiz ne obnaruzhil podtverzhdeniya standartnoy reaktsii klyuchevykh proizvodstvennykh i tsenovykh pokazateley v otvet na uzhestochenie denezhno-kreditnoy politiki. Tak, otsenki ne vyyavili statisticheski znachimogo sderzhivayushchego vliyaniya na inflyatsiyu politiki vysokikh protsentnykh stavok, provodimoy v poslednie gody. Pri etom obnaruzheno sderzhivayushchee vliyanie uzhestocheniya monetarnoy politiki na pokazateli ekonomicheskoy aktivnosti: soglasno konservativnym otsenkam, kazhdoe povyshenie klyuchevoy stavki v marte i dekabre 2014 g. privelo k snizheniyu indeksa promyshlennogo proizvodstva priblizitel'no na 0,2 p. p. v techenie goda.n

Název v anglickém jazyce

Economic effects of monetary policy in Russia: What do large datasets tell us?

Popis výsledku anglicky

Is the Bank of Russia able to control inflation and, at the same time, manage aggregate demand using its interest rate instruments? In other words, are empirical estimates of the effects of monetary policy in Russia consistent with the theoretical concepts and experience of advanced economies? This paper is aimed at addressing these issues. Unlike previous research, we employ “big data” — a large dataset of macroeconomic and financial data — to estimate the effects of monetary policy in Russia. We focus exclusively on the period after the 2008—2009 global financial crisis when the Bank of Russia announced the abandoning of its fixed ruble exchange rate regime and started to gradually transit to an interest rate management. Our estimation results do not confirm standard responses of key economic activity and price variables to tightening of monetary policy. Specifically, our estimates do not reveal a statistically significant restraining effect of the Bank of Russia’s policy of high interest rates on inflation in recent years. At the same time, we find a significant deteriorating effect of the monetary tightening on economic activity indicators: according to our conservative estimates, each of the key rate increases occurred in March and December 2014 had led to a decrease in the industrial production index by about 0.2 percentage points within a year.

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

2020

Kód důvěrnosti údajů

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

Název periodika

Voprosy Ekonomiki

ISSN

0042-8736

e-ISSN

—

Svazek periodika

2020

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

RU - Ruská federace

Počet stran výsledku

23

Strana od-do

31-53

Kód UT WoS článku

000526180500002

EID výsledku v databázi Scopus

2-s2.0-85083968920