|Generate QR code
Open Access
Subscription Access
On the effects of monetary policy in Russia: The role of the space of spanned shocks and the policy regime shifts
https://doi.org/10.32609/0042-8736-2018-2-33-55
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.
Keywords
vector autoregression,
Bayesian approach,
structural identification,
monetary policy shocks,
external and domestic demand shocks
JEL: D72; D73; I23; O38
About the Author
A. A. Pestova
Center for Macroeconomic Analysis and Short-Term Forecasting; Institute of Economic Forecasting, RAS
Russian Federation
Russian Federation
References
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).
6. Glazyev S. (2014). Sanctions of the USA and the policy of the Bank of Russia: double blow to the national economy. Voprosy Ekonomiki, No. 9, pp. 13—29. (In Russian).
7. Drobyshevskiy S., Trunin P., Kamenskikh M. (2009). Analysis of the monetary policy rules of the Bank of Russia in 1999—2007. M.: IEPP. (In Russian).
8. Kiyutsevskaya A. (2014). Floating exchange rate of the Russian ruble: Myth or reality? Voprosy Ekonomiki, No. 2, pp. 50—67. (In Russian).
9. Kreptsev D., Seleznev S. (2016). Influence of money market rates on interest rates on loans to final borrowers (Economic Research Report No. 9). Moscow: Bank of Russia. (In Russian).
10. Leontyeva E. (2012). Mechanism of monetary transmission in Russia. CEFIR/NES Working Paper, No. 175. (In Russian).
11. Lomivorotov R. (2015). Identifying the main macroeconomic shocks in Russia, estimating their impact on the economy and conclusions for monetary policy. Thesis Cand. Sci. (Econ.). Moscow: NRU HSE. (In Russian).
12. Mogilat A., Achkasov Yu., Egorov A., Klimovets A., Donets S. (2016). Debates on monetary policy issues and economic situation: Searching for constructive comments. Voprosy Ekonomiki, No. 5, pp. 25—43 (In Russian).
13. Pestova A. (2017). Monetary policy regimes in Russia: Guidelines for further quantitative studies. Voprosy Ekonomiki, No. 4, pp. 38—60 (In Russian).
14. Pestova A. A., Pankova V. A., Akhmetov R. R., Goloshchapova I. O. (2017). Developing a system of financial instability indices based on high frequency data. Dengi i Kredit, No. 6, pp. 49—58. (In Russian).
15. Styrin K., Potapova V. (2009). GDP leading indicator of RenCap-NES: Better and earlier. Moscow: Renaissance Capital. (In Russian).
16. Yudaeva K. (2014). On the opportunities, targets and mechanisms of monetary policy under the current conditions. Voprosy Ekonomiki, No. 9, pp. 4—12.
17. Amir Ahmadi, P., Uhlig, H. (2015). Sign restrictions in Bayesian FAVARs with an application to monetary policy shocks. NBER Working Paper, No. 21738.
18. Benati L., Goodhart C. (2010). Monetary Policy Regimes and Economic Performance: The Historical Record, 1979-2008. In: B. Friedman, M. Woodford (eds.). Handbook of monetary economics, Vol. 3. Amsterdam: Elsevier, pp. 1159-1236.
19. Bernanke B., Boivin J., Eliasz P. (2005). Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach. Quarterly Journal of Economics, Vol. 120, No. 1, pp. 387-422.
20. Bernanke B., Blinder A. (1992). The Federal funds rate and the channels of monetary transmission. American Economic Review, Vol. 82, No. 4, pp. 901-921.
21. Bernanke B., Mihov I. (1998). Measuring monetary policy. Quarterly Journal of Economics, Vol. 113, No. 3, pp. 869-902.
22. Bhandari P., Frankel J. (2015). Nominal GDP targeting for developing countries. NBER Working Paper, No. 20898.
23. Blake A., Mumtaz H. (2012). Applied Bayesian econometrics for central bankers (Technical Handbook No. 4). Bank of England, Centre for Central Banking Studies.
24. Boivin J., Kiley M., Mishkin, F. (2010). How has the monetary transmission mechanism evolved over time? In: B. Friedman, M. Woodford (eds.). Handbook of monetary economics, Vol. 3. Amsterdam: Elsevier, pp. 369-422.
25. Castelnuovo E., Surico P. (2010). Monetary policy, inflation expectations and the price puzzle. Economic Journal, Vol. 120, pp. 1262-1283.
26. Christiano L., Eichenbaum M., Evans C. (1999). Monetary policy shocks: what have we learned and to what end? In: M. Woodford, J.D. Taylor (еds.). Handbook of macroeconomics, Vol. 1. Amsterdam: Elsevier, pp. 65-148.
27. Filardo A., Rungcharoenkitkul P. (2016). A quantitative case for leaning against the wind. BIS Working Paper, No. 594.
28. Forni M., Gambetti L. (2010). The dynamic effects of monetary policy: A structural factor model approach. Journal of Monetary Economics, Vol. 57, No. 2, pp. 203-216.
29. Frankel J. (2010). Monetary policy in emerging markets. In: B. Friedman, M. Woodford (eds.). Handbook of monetary economics. Vol. 3. Amsterdam: Elsevier, pp. 1439-1520.
30. Friedman M., Schwartz A. (1963). A monetary history of the United States: 1867-1960. Princeton, NJ: Princeton University Press.
31. Gertler M., Karadi P. (2015). Monetary policy surprises, credit costs, and economic activity. American Economic Journal: Macroeconomics. Vol. 7, No. 1, pp. 44-76.
32. Hammond G. (2012). State of the art of inflation targeting. Centre for Central Banking Studies Handbook, No. 29.
33. Knoop T. (2009). Recessions and depressions: Understanding business cycles. 2nd ed. Westport, CT: Praeger, Mallick S. K., Sousa R. M. (2012). Real effects of monetary policy in large emerging economies. Macroeconomic Dynamics, Vol. 16, No. 2, pp. 190-212.
34. Primiceri G. (2005). Time varying structural vector autoregressions and monetary policy. Review of Economic Studies, Vol. 72, No. 3, pp. 821-852.
35. Rafiq M., Mallick S. (2008). The effect of monetary policy on output in EMU3: A sign restriction approach. Journal of Macroeconomics, Vol. 30, No. 4, pp. 1756-1791.
36. Ramey V. (2016). Macroeconomic shocks and their propagation. In: J. B. Taylor, H. Uhlig (еds.). Handbook of macroeconomics, Vol. 2A. Amsterdam: Elsevier, pp. 71-162.
37. Romer C., Romer D. (1989). Does monetary policy matter? A new test in the spirit of Friedman and Schwartz. NBER Macroeconomics Annual, Vol. 4, pp. 121-170.
38. Romer C., Romer D. (2004). A new measure of monetary policy shocks: derivation and implications. American Economic Review, Vol. 94, No. 4, pp. 1055-1084.
39. Sims C. (1972). Money, income, and causality. American Economic Review, Vol. 62, No. 4, pp. 540-552.
40. Sims C. (1980). Macroeconomics and reality. Econometrica. Vol. 48, No. 1, pp. 1-48.
41. Sims C. (1992). Interpreting the macroeconomic time series facts: the effects of monetary policy. European Economic Review, Vol. 36, No. 5, pp. 975-1000.
42. Sims C., Zha T. (2006). Were there regime switches in U.S. monetary policy? American Economic Review, Vol. 96, No. 1, pp. 54-81.
43. Svensson L. (2010). Inflation Targeting. In: B. Friedman, M. Woodford (ed.). Handbook of monetary economics, Vol. 3. Amsterdam: Elsevier, pp. 1237-1302.
44. Uhlig H. (2005). What are the effects of monetary policy on output? Results from an agnostic identification procedure. Journal of Monetary Economics, Vol. 52, No. 2, pp. 381-419.
Review
For citations:
Pestova A.A. On the effects of monetary policy in Russia: The role of the space of spanned shocks and the policy regime shifts. Voprosy Ekonomiki. 2018;(2):33-55. (In Russ.) https://doi.org/10.32609/0042-8736-2018-2-33-55
Views:
1188
Email this article 
