voprecotestВопросы экономикиVoprosy Ekonomiki0042-8736Voprosy Ekonomiki, NP10.32609/0042-8736-2021-9-5-23voprecotest-3660Research ArticleДЕНЕЖНО-КРЕДИТНАЯ ПОЛИТИКАMONETARY POLICYОценка реальной нейтральной ставки процента в России в период инфляционного таргетированияEstimating a neutral real interest rate in Russia during inflation targetinghttps://orcid.org/0000-0002-3979-0981ДробышевскийС. М.DrobyshevskyS. M.

Дробышевский Сергей Михайлович, д. э. н., директор по научной работе

Москва

Sergey M. Drobyshevsky

Moscow

dsm@iep.ruhttps://orcid.org/0000-0001-8306-9422ТрунинП. В.TruninP. V.

Трунин Павел Вячеславович, д. э. н., директор Центра изучения проблем центральных банков Института прикладных экономических исследований (ИПЭИ); руководитель направления «Макроэкономика и финансы» 

Москва

Pavel V. Trunin 

Moscow

pt@iep.ruhttps://orcid.org/0000-0001-7494-2728Синельникова-МурылеваЕ. В.Sinelnikova-MurylevaE. V.

Синельникова-Мурылева Елена Владимировна, к. э. н., с. н. с. Центра изучения проблем центральных банков ИПЭИ 

Москва

Elena V. Sinelnikova-Muryleva

Moscow

 

e.sinelnikova@ranepa.ruhttps://orcid.org/0000-0002-9552-790XМакееваН. В.MakeevaN. V.

Макеева Наталья Владимировна, н. с. Центра изучения проблем центральных банков ИПЭИ 

Москва

Natalja V. Makeeva 

Moscow

natalia.v.makeeva@gmail.comhttps://orcid.org/0000-0002-7264-5399ГребенкинаА. М.GrebenkinaA. M.

Гребенкина Алина Михайловна, н. с. Центра изучения проблем центральных банков ИПЭИ 

Москва

Alina M. Grebenkina

Moscow

grebenkina-am@ranepa.ruИнститут экономической политики имени Е. Т. ГайдараРоссияGaidar Institute for Economic PolicyRussian FederationРоссийская академия народного хозяйства и государственной службы при Президенте РФ; Институт экономической политики имени Е. Т. ГайдараРоссияGaidar Institute for Economic Policy; Russian Presidential Academy of National Economy and Public AdministrationRussian FederationРоссийская академия народного хозяйства и государственной службы при Президенте РФРоссияRussian Presidential Academy of National Economy and Public AdministrationRussian Federation20210709202109523Copyright © Voprosy Ekonomiki, NP, 20212021Voprosy Ekonomiki, NPVoprosy Ekonomiki, NPhttps://www.vopreco.ru/jour/about/submissions#copyrightNoticehttps://www.vopreco.ru/jour/article/view/3660

В работе оценивается величина краткосрочной реальной нейтральной ставки процента в России после перехода к режиму инфляционного таргетирования. Представлен обзор теоретически обоснованных факторов, который демонстрирует различие кратко- и долгосрочной реальной нейтральной ставки процента. Анализ оценок последней для разных стран показывает, что ее снижение в развитых и развивающихся странах обусловлено различными факторами. Проведен сравнительный анализ преимуществ и недостатков основных подходов к оценке величины реальной нейтральной ставки процента — с применением показателей финансового рынка, статистических методов и многоуровневых теоретических моделей. На основании многомерной модели ненаблюдаемых компонент для российской экономики сделан вывод о снижении краткосрочной реальной нейтральной ставки процента с 5 до 1% в 2016—2020 гг., а также о нейтральности денежно-кредитной политики в этот период.

The article aims to estimate a short-term neutral real interest rate (NRI) in Russia after transition to inflation targeting. The article provides a review of theoretical factors, which demonstrates the difference between short-term and long-term neutral real interest rate. The following analysis of estimates of NRI in different countries shows that its decline in developed and developing countries is due to various factors. Further, the article provides a comparative analysis of advantages and disadvantages of three main approaches to NRI estimation: using financial market indicators, statistical methods and multilevel theoretical models. Based on multivariate unobserved components model (UCM) for the Russian economy, the article concludes that the short-term NRI decreased from 5 to 1% in 2016—2020, whereas monetary policy was predominantly neutral.

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