voprecotestВопросы экономикиVoprosy Ekonomiki0042-8736Voprosy Ekonomiki, NP10.32609/0042-8736-2016-7-78-92voprecotest-214Research ArticleМИРОВАЯ ЭКОНОМИКА И РОССИЯGLOBAL ECONOMY AND RUSSIAКризис в России и его распространение на страны СНГ: оценка каналов трансмиссииThe crisis in Russia and its spreadingover the CIS countries: Transmission channelsФедороваЕ. А.FedorovaE.

д. э. н., проф. кафедры финансового менеджмента Финансового университета при Правительстве РФ, проф. департамента финансов НИУ ВШЭ (Москва)

ecolena@mail.ruФинансовый университет при Правительстве РФ; НИУ ВШЭРоссияFinancial University under the Government of RF; National Research University Higher School of EconomicsRussian Federation201620072016077892Copyright © Voprosy Ekonomiki, NP, 20162016Voprosy Ekonomiki, NPVoprosy Ekonomiki, NPhttps://www.vopreco.ru/jour/about/submissions#copyrightNoticehttps://www.vopreco.ru/jour/article/view/214

В работе на основе байесовской модели векторной авторегрессии оцениваются каналы трансмиссии кризисных ситуаций из России в страны СНГ. Эмпирическая база исследования включает макроэкономические показатели 11 стран СНГ по квартальным данным в период с 2002 по 2015 г. Выявлено, что основным выступает монетарный канал трансмиссии. Экономика стран СНГ реагирует на финансовый стресс в России сильнее, чем сама российская экономика, и со временем влияние этого стресса на их экономику только усиливается, в среднем в 1,5-2 раза в течение года.

This study evaluates the channels of crises transmission from Russia to the CIS countries on the basis of a Bayesian vector autoregression model. The empirical base of the study consists of 11 macroeconomic indicators of the CIS countries on quarterly data for the period from 2002 to 2015. It has been revealed that the monetary channel of transmission plays the main role. The economy of the CIS countries reacts stronger to the financial stress in Russia than the Russian economy itself, and over time the impact of the financial stress in Russia on the economy of the CIS countries only increases on average by1.5-2 times throughout the year.

финансовая интеграциястраны СНГбайесовская модель векторной авторегрессиикризисная ситуацияканалы трансмиссииfinancial integrationCIS countriesBayesian vector autoregression modelcrisistransmission channelReferencesФедорова Е., Безрук О. (2011). Анализ и оценка каналов распространения финансовых кризисов на развивающихся рынках // Вопросы экономики. № 7. С. 120-128Fedorova E., Bezruk O. (2011). The channels of financial crisis transmission in emerging markets. Voprosy Ekonomiki, No. 7, pp. 120—128. (In Russian).Федорова Е. А., Афанасьев Д. О. (2014). Определение каналов распространения кризисных ситуаций в РФ // Проблемы прогнозирования. № 5. С. 100-111Fedorova E. A., Afanasiev D. O. (2014). Revealing the channels of the crisis situation spreading in the Russian Federation. Problemy Prognozirovaniya, No. 5, pp. 100—111. (In Russian).Федорова Е. А., Каменева Е. А., Афанасьев Д. О. (2015). Перетекание валютных кризисов для России и стран СНГ // Банковское дело. № 11. С. 12-17Fedorova E. A., Kameneva E. A., Afanasiev D. O. (2015). Transmission of currency crises for Russia and the SIC countries. Bankovskoe Delo, No. 11, pp. 12—17. (In Russian).Федорова Е. А., Мухин А. С., Довженко С. Е. (2016). Моделирование правила денежнокредитной политики ЦБ РФсиспользованием индекса финансового стресса // Журнал Новой экономической ассоциации. № 1. С. 84-105Fedorova E. A., Mukhin A. S., Dovzhenko S. E. (2016). Modeling rules of monetary policy of the Central Bank of the Russian Federation with the financial stress index. Zhurnal Novoi Ekonomicheskoi Assotsiatsii, No. 1, pp. 84—105. (In Russian).Baker S. R., Bloom N., Davis S. (2015). Measuring economic policy uncertainty. NBER Working Paper, No. 21633.Baker S. R., Bloom N., Davis S. (2015). Measuring economic policy uncertainty. NBER Working Paper, No. 21633.Broner F. A., Gelos G. R., Reinhart C. M. (2006). When in peril, retrench: Testing the portfolio channel of contagion. Journal of International Economics, Vol. 69, pp. 203-230.Broner F. A., Gelos G. R., Reinhart C. M. (2006). When in peril, retrench: Testing the portfolio channel of contagion. Journal of International Economics, Vol. 69, pp. 203-230.Calvo G. A., Leiderman L., Reinhart C. (1993). Capital inflow and real exchange rate appreciation in Latin America: The role of external factors. IMF Staff Papers, No. 40, pp. 108-151.Calvo G. A., Leiderman L., Reinhart C. (1993). Capital inflow and real exchange rate appreciation in Latin America: The role of external factors. IMF Staff Papers, No. 40, pp. 108-151.Calvo G. A. (2005). Emerging capital markets in turmoil: Bad luck or bad policy? Cambridge, MA: MIT Press.Calvo G. A. (2005). Emerging capital markets in turmoil: Bad luck or bad policy? Cambridge, MA: MIT Press.Canova F. (2005). The transmission of US shocks to Latin America. Journal of Applied Economics, Vol. 20, No. 2, pp. 229-251.Canova F. (2005). The transmission of US shocks to Latin America. Journal of Applied Economics, Vol. 20, No. 2, pp. 229-251.Caramazza F., Ricci L. A., Salgado R. (2000). Trade and financial contagion in currency crises. IMF Working Paper, No. WP/00/55.Caramazza F., Ricci L. A., Salgado R. (2000). Trade and financial contagion in currency crises. IMF Working Paper, No. WP/00/55.Eichengreen B., Rose A. (1999). Contagious currency crises: Channels of conveyance. In: T. Ito, A. Krueger (eds.). Changes in exchange rates in rapidly developing economies. Chicago: University of Chicago Press.Eichengreen B., Rose A. (1999). Contagious currency crises: Channels of conveyance. In: T. Ito, A. Krueger (eds.). Changes in exchange rates in rapidly developing economies. Chicago: University of Chicago Press.Forbes K. (2001). Are trade linkages important determinants of country vulnerability to crises? NBER Working Paper, No. 8194.Forbes K. (2001). Are trade linkages important determinants of country vulnerability to crises? NBER Working Paper, No. 8194.Fratzscher M. (2002). On currency crises and contagion. ECB Working Paper, No. 139.Fratzscher M. (2002). On currency crises and contagion. ECB Working Paper, No. 139.Georgiadis G. (2015). Examining asymmetries in the transmission of monetary policy in the euro area: Evidence from a mixed crosssection global VAR model. European Economic Review, Vol. 75, pp. 195-215.Georgiadis G. (2015). Examining asymmetries in the transmission of monetary policy in the euro area: Evidence from a mixed crosssection global VAR model. European Economic Review, Vol. 75, pp. 195-215.Glick R., Rose A. K. (1999). Contagion and trade. Why are currency crises regional? Journal of International Money and Finance, Vol. 18, No. 4, pp. 603-617.Glick R., Rose A. K. (1999). Contagion and trade. Why are currency crises regional? Journal of International Money and Finance, Vol. 18, No. 4, pp. 603-617.Kaminsky G., Reinhart C. M. (2003). The center and the periphery: The globalization of financial turmoil. NBER Working Paper, No. 9479.Kaminsky G., Reinhart C. M. (2003). The center and the periphery: The globalization of financial turmoil. NBER Working Paper, No. 9479.Kazi I. A., Wagan H., Akbar F. (2013). The changing international transmission of U.S. monetary policy shocks: Is there evidence of contagion effect on OECD countries. Economic Modelling, Vol. 30, No. C, pp. 90-116.Kazi I. A., Wagan H., Akbar F. (2013). The changing international transmission of U.S. monetary policy shocks: Is there evidence of contagion effect on OECD countries. Economic Modelling, Vol. 30, No. C, pp. 90-116.Mackowiak B. (2007). External shocks, U.S. monetary policy and macroeconomic fluctuations in emerging markets. Journal of Monetary Economics, Vol. 54, No. 8, pp. 2512-2520.Mackowiak B. (2007). External shocks, U.S. monetary policy and macroeconomic fluctuations in emerging markets. Journal of Monetary Economics, Vol. 54, No. 8, pp. 2512-2520.PonsNovell J. (2003). Strategic bias, herding behaviour and economic forecasts. Journal of Forecasting, Vol. 22, No. 1, pp. 67-77.PonsNovell J. (2003). Strategic bias, herding behaviour and economic forecasts. Journal of Forecasting, Vol. 22, No. 1, pp. 67-77.Starr M. A. (2005). Does money matter in the CIS? Effects of monetary policy on output and prices. Journal of Comparative Economics, Vol. 33, No. 3, pp. 441-461.Starr M. A. (2005). Does money matter in the CIS? Effects of monetary policy on output and prices. Journal of Comparative Economics, Vol. 33, No. 3, pp. 441-461.Van Rijckeghem C., Weder B. (2001). Sources of contagion: Is it finance or trade? Journal of International Economics, Vol. 54, No. 2, pp. 293-308.Van Rijckeghem C., Weder B. (2001). Sources of contagion: Is it finance or trade? Journal of International Economics, Vol. 54, No. 2, pp. 293-308.Vinhas de Souza L. (2005). Monetary and exchange rate policies in the CIS countries: Between the EU and Russia. Journal of Comparative Economics, Vol. 33, No. 3, pp. 421-424.Vinhas de Souza L. (2005). Monetary and exchange rate policies in the CIS countries: Between the EU and Russia. Journal of Comparative Economics, Vol. 33, No. 3, pp. 421-424.

The authors declare that there are no conflicts of interest present.