The effects of monetary shocks on inflation: high-frequency approach

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F21%3A00544656" target="_blank" >RIV/00216208:11640/21:00544656 - isvavai.cz</a>

Výsledek na webu

<a href="https://doi.org/10.32609/0042-8736-2021-6-47-76" target="_blank" >https://doi.org/10.32609/0042-8736-2021-6-47-76</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.32609/0042-8736-2021-6-47-76" target="_blank" >10.32609/0042-8736-2021-6-47-76</a>

Jazyk výsledku

ruština

Název v původním jazyce

Modelirovaniye vozdeystviya monetarnykh shokov na inflyatsiyu s pomoshch'yu vysokochastotnogo podkhoda

Popis výsledku v původním jazyce

Standartnyye identifikatsii monetarnykh shokov neredko ustupayut vysokochastotnomu podkhodu v ustoychivosti k empiricheskim «zagadkam». Odnako neobkhodimyye dlya nego pominutnyye dannyye ne vsegda dostupny v silu nedostatochnoy likvidnosti protsentnykh f'yuchersov v stranakh s razvivayushchimisya rynkami. V stat'ye predlagayetsya novaya vneshnyaya instrumental'naya peremennaya dlya identifikatsii shokov protsentnoy politiki na osnove dannykh f'yuchers- i spot-kursov valyutnoy pary dollar—rubl'. Proveden analiz effektov monetarnykh shokov na periode upravleniya protsentnymi stavkami 2010—2019 gg. V otlichiye ot predydushchikh rabot, dlya perioda pered krizisom 2014 g. ne obnaruzhena tsenovaya zagadka ili drugiye kontrintuitivnyye s tochki zreniya znaka impul'snyye funktsii otklikov v otvet na uzhestocheniye DKP. Odnako sderzhivayushcheye vozdeystviye protsentnoy politiki na inflyatsiyu dlya perioda povysheniya protsentnykh stavok, vklyuchayushchego krizis 2014—2015 gg., ne vyyavleno, chto svyazano s osobennostyami rascheta instrumenta. V sluchaye isklyucheniya iz analiza krizisnogo perioda kontsa 2014 g. poluchennyye otsenki effektov monetarnykh shokov sootvetstvuyut teoreticheskim predstavleniyam i opytu zarubezhnykh rabot: nablyudayetsya sderzhivayushcheye vozdeystviye na tseny i ekonomicheskuyu aktivnost', snizhayutsya fondovyye indeksy, obyem bankovskogo kreditovaniya i torgovogo balansa, ukreplyayetsya kurs rublya i rastut kreditnyye spredy. Proverka ustoychivosti otsenok k nalichiyu vozmozhnoy nemonetarnoy informatsii v instrumentakh vyyavila ikh robastnost' k peresmotru ozhidaniy otnositel'no osnovnykh makroekonomicheskikh peremennykh (klyuchevoy stavki, inflyatsii, vypuska).

Název v anglickém jazyce

The effects of monetary shocks on inflation: high-frequency approach

Popis výsledku anglicky

Commonly used in monetary VARs identification schemes yield to a high-frequency approach as they tend to raise different empirical puzzles reported in the literature. However, financial markets in some open economies are not sufficiently liquid to provide minute bars data on interest rate financial instruments. This paper fills this gap employing a new series of high-frequency monetary policy surprises with USD/RUB currency futures and spot instruments. We find that a monetary tightening is contractionary without price puzzle and other paradoxes about financial variables. This result is robust for the period 2010-2019 apart from the crisis of 2014-2015 when the free floated ruble was devalued due to the sharp decline in oil prices. We also decompose surprises on monetary policy shocks - changes in the expected interest rate, and an information component - the information simultaneously conveyed by the central bank like an assessment of the economic outlook. We find that the former one significantly affects monetary policy surprises that does not confirm a hypothesis about substantial impact of non-monetary news on the external instrument.

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

2021

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

2021

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

RU - Ruská federace

Počet stran výsledku

30

Strana od-do

47-76

Kód UT WoS článku

000659872500003

EID výsledku v databázi Scopus

2-s2.0-85126639302