Affiliation:
1. Center for Macroeconomic Analysis and Short-Term Forecasting; Institute of Economic Forecasting, RAS
Abstract
This paper investigates the influence of monetary policy shocks in Russia on the basic macroeconomic and financial indicators. To identify the shocks of monetary policy, the Bayesian approach to the estimation of vector autoregressions (VARs) is applied, followed by extraction of the unexplained dynamics of monetary policy instruments (shocks) using both recursive identification and sign restrictions approach. The estimates show that the monetary policy shocks, apparently, cannot be attributed to the key drivers of cyclical movements in Russia, as they explain only less than 10% of the output variation and from 5 to10% of the prices variation. When applying recursive identification, no restraining effect of monetary policy on prices is found. Respective impact on output is negative and statistically significant in all identification procedures employed; however, the relative contribution of monetary shocks to output is not large. In addition, no significant effect of monetary policy tightening on the stabilization of the ruble exchange rate was found.
Subject
Economics and Econometrics,Finance
Reference44 articles.
1. Apokin A., Belousov D., Goloshchapova I., Ipatova I., Solntsev O. (2014). On the fundamental deficiencies of current monetary policy. Voprosy Ekonomiki, No. 12, pp. 81—100. (In Russian).
2. Apokin A., Galimov D., Goloshchapova I., Salnikov V., Solntsev O. (2015). Russian monetary policy: Work on the bugs. Voprosy Ekonomiki, No. 9, pp. 136—151. (In Russian).
3. Badasen P., Isakov A., Khazanov A. (2015). Modern monetary policy: Relevant criticism or misunderstanding in the expert community? Voprosy Ekonomiki, No. 6, pp. 128—142. (In Russian).
4. Borzykh O. (2016). Bank lending channel in Russia: A TVP-FAVAR approach. Applied Econometrics, Vol. 43, pp. 96—117. (In Russian).]
5. Vashchelyuk N. V., Polbin A. V., Trunin P. V. (2015). Estimation of the monetary policy shock’s influence on the Russian economy. Ekonomicheskiy Zhurnal VShE, No. 2, pp. 169—198. (In Russian).
Cited by
13 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献