voprecotestВопросы экономикиVoprosy Ekonomiki0042-8736Voprosy Ekonomiki, NP10.32609/0042-8736-2025-9-62-87voprecotest-5462Research ArticleМАКРОЭКОНОМИКАMACROECONOMICSИндексы жесткости денежно-кредитных условий для РоссииMonetary conditions tightness indices for Russiahttps://orcid.org/0000-0002-1884-5728ФинагинМ. И.FinaginM. I.

Финагин Матвей Игоревич, аспирант НИУ ВШЭ, главный экономист Банка

Москва

Matvey I. Finagin

Moscow

matfinagin@yandex.ruИногамоваВ. Т.InogamovaV. Т.

Иногамова Валерия Тимуровна, главный экономист

Москва

Valeria T. Inogamova

Moscow

valerya.i@mail.ruhttps://orcid.org/0000-0001-7198-480XГрачеваА. А.GrachevaA. A.

Грачева Анна Алексеевна, главный экономист

Москва

Anna A. Gracheva

Moscow

Aagrachyova@gmail.comНациональный исследовательский университет «Высшая школа экономики» ; Банк РоссииРоссияHSE University; Bank of RussiaRussian FederationБанк РоссииРоссияBank of RussiaRussian Federation202507092025096287Copyright © Voprosy Ekonomiki, NP, 20252025Voprosy Ekonomiki, NPVoprosy Ekonomiki, NPhttps://www.vopreco.ru/jour/about/submissions#copyrightNoticehttps://www.vopreco.ru/jour/article/view/5462

Предложена система оценки жесткости денежно-кредитных условий (ДКУ) для России на основании индексов. Они позволяют исследовать проводимость монетарного импульса в рамках ключевых каналов трансмиссионного механизма ДКП и оценить шоки ДКУ. Краткосрочные ставки денежного рынка, наиболее чувствительные к изменению центральным банком ключевой ставки, в разной мере влияют на ставки средней и дальней срочности. Такая неоднородность связана с ожиданиями и настроениями участников финансового и денежно-кредитного рынков, с параметрами волатильности рынка, бюджетной политикой и внешними шоками. Для того чтобы иметь возможность проследить действие трансмиссионного механизма, построены индексы с использованием широкого списка экономических переменных, которые способны охарактеризовать денежно-кредитные условия. В информационное множество были включены показатели, отражающие ценовые и неценовые условия, а также опросные индикаторы — оценки текущих условий  участниками  рынка.  Строится  система  индексов  для учета структурных изменений и идентификации шоков ДКУ. Полученный результат корректно отражает эмпирические наблюдения на исторических данных, что указывает на возможность оперативно отслеживать жесткость денежно-кредитных  условий  и  влияние  внешних  шоков  на  эту  динамику в настоящее время. 

This paper develops a system for assessing the tightness of monetary conditions in Russia using monetary-conditions indices. These indices make it possible to study the pass-through of the monetary policy impulse across key channels of the transmission mechanism and to identify shocks to monetary conditions. Short-term money market rates, which are most sensitive to changes in the central bank’s policy rate, affect mediumand long-term rates to varying degrees. This heterogeneity is driven, among other factors, by expectations and sentiment of participants in financial and money markets, market volatility, fiscal policy, and external shocks. To trace the operation of the transmission mechanism, we construct indices based on a broad set of economic variables that characterize monetary conditions. The information set includes indicators reflecting price and non-price conditions, as well as survey-based measures—market participants’ assessments of current conditions. We build a system of indices to account for structural changes and to identify shocks to monetary conditions. The results align well with empirical patterns in historical data, indicating the feasibility of real-time monitoring of the tightness of monetary conditions and the impact of external shocks on their dynamics.

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