voprecotestВопросы экономикиVoprosy Ekonomiki0042-8736Voprosy Ekonomiki, NP10.32609/0042-8736-2024-4-70-91voprecotest-4803Research ArticleМАКРОЭКОНОМИКАMACROECONOMICSОценка предсказуемости решений Банка России по ключевой ставке и информационного преимущества в ее прогнозированииAssessing the predictability of the Bank of Russia decisions on the key rate and informational advantage in its forecastinghttps://orcid.org/0009-0006-2191-0697АбдурахмановМ. И.AbdurakhmanovM. I.

Абдурахманов Мансур Илгар оглы - вед. экономист Банка России, аспирант РАНХиГС.

Москва

Mansur I. Abdurakhmanov

Moscow

abdurakhmanovmi@cbr.ruБанк России; Российская академия народного хозяйства и государственной службы при Президенте РФРоссияBank of Russia; Russian Presidential Academy of National Economy and Public AdministrationRussian Federation202410042024047091Copyright © Voprosy Ekonomiki, NP, 20242024Voprosy Ekonomiki, NPVoprosy Ekonomiki, NPhttps://www.vopreco.ru/jour/about/submissions#copyrightNoticehttps://www.vopreco.ru/jour/article/view/4803

Значимую роль в настройке ожиданий экономических агентов играет коммуникационная политика центральных банков. Если решения по ключевой ставке не согласуются с ожиданиями рынка, то управление ожиданиями и заякоривание инфляционных ожиданий может быть затруднено. Оценивается предсказуемость решений Банка России по ключевой ставке за период 2021—2023 гг. двумя способами: с помощью опросов анали тиков и сдвигов индекса российских государственных облигаций и дневной волатильности его доходности. Полученные результаты свидетельствуют о значимом влиянии неожиданных решений по ключевой ставке на цены российских государственных облигаций и на дневную волатильность. С помощью статистических метрик, рассчитанных по данным макроэкономических опросов, а также другой линейной и кусочно-линейной модели выявлено информационное преимущество Банка России в прогнозировании ключевой ставки. Неожиданные для рынка решения объясняются информационным преимуществом Банка России, а также реализацией геополитических и инфляционных рисков в исследуемом периоде. Сделан вывод о необходимости повышать качество коммуникации относительно будущих решений. По мере развития коммуникационной политики предсказуемость решений Банка России по ключевой ставке повысится. Экономические агенты и участники рынка заранее адаптируются к ожидаемым решениям, что ускорит достижение цели по инфляции и корректировку инфляционных ожиданий.

The communication policy of central banks plays a significant role in setting the expectations of economic agents. If key rate decisions are inconsistent with market expectations, managing expectations and anchoring inflation expectations may be difficult. We assess the predictability of the Bank of Russia’s key rate decisions over the 2021—2023 period in two ways: using media surveys of analysts and shifts in the Russian government bond index and the daily volatility of its yield. The results show a significant impact of unexpected key rate decisions on Russian government bond prices and daily volatility. Then, using statistical metrics computed from macroeconomic survey data and another linear and piecewise linear model, we find the informational advantage of the Bank of Russia in predicting the key rate. The decisions unexpected for the market are explained by the information advantage of the Bank of Russia, as well as the realization of geopolitical and inflation risks in the period under study. Thus, we conclude that there is a need to improve the quality of communication regarding future decisions. As the communication policy develops, the predictability of the Bank of Russia’s decisions on the key rate will increase. In turn, economic agents and market participants will adapt to the expected decisions in advance, which will accelerate the achievement of the inflation target and the adjustment of inflation expectations.

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