ДЕНЬГИ И КРЕДИТ

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Econometric Modeling of the Impact of Inflation on the Dynamics of Investment

Kartaev Philipp, Klachkova Olga

The article, based on data for 35 developed countries from 1980 to 2015, examines the impact of inflation and its volatility on real investment. The estimates of inflation volatility obtained in the framework of GARCH-model; to evaluate the impact of inflation on investment panel regression with fixed effects (entity fixed effects model and entity and time fixed effects model) is used. It is demonstrated that lower inflation rates and its volatility have positive impact on the dynamics of investment in fixed capital. Thus, inflation targeting regime is a prerequisite to long-term economic growth.

Estimation of Credit Market Segments’ Response to Movements in the Bank of Russia Key Rate

Borzykh Olga, Egorov Alexey

In the article we analyze the impact of Bank of Russia monetary policy on credit activity. Using a TVP-FAVAR model and recent Russian data we reveal heterogeneity of this impact on different segments of the Russian credit market, including significant difference between loans to tradeable and non-tradeable sectors. This heterogeneity might be the source of structural shifts in the economy during tightening or easing of monetary policy.

Monetary Analysis: An Alternative View on Monetary Transmission in Russia

Borzykh Olga, Mogilat Anastasia

The article studies the role of monetary analysis in inflation targeting and Bank of Russia's monetary policy. We place emphasis on the approaches to inflation monetary risks estimation (these risks are caused by enhanced growth of monetary aggregates). We found out that currently money growth is not a key factor of inflation in Russian economy. Its contribution accounts only for one third of price growth. In addition, there is no evidence that monetary aggregates' dynamics will cause inflation acceleration in midterm. To sum up, current dynamics of money supply will not prevent Bank of Russia to hit inflation target in 2017 and maintain inflation around 4% level in the future.

Optimal Monetary, Fiscal and Macroprudential Policy in an Oil Exporting Economy (a Survey)

Sinyakov Andrey, Khotulev Ivan

This article surveys research papers dedicated to optimal countercyclical monetary, fiscal and macroprudential policy in an oil exporting economy. The main principles of optimal policy follow from the characterization of the small open economy and the key role played by the real exchange rate in a commodity-exporting economy. The optimal policy includes a budget rule, flexible exchange rate and inflation targeting, as well as instruments of macroprudential policy. Important extensions for future research include the dependence of the tradable sector on the import of investment goods, the sensitivity of dollarization to the price of oil, and the effect of the price of oil on the structure of the economy in the long-run equilibrium.

Overview of Monetary Policy Transmission Mechanism Channels and Instruments of Their Analysis in the Bank of Russia

Mogilat Anastasia

The article discusses key approaches and instruments used in the Bank of Russia for analysis of monetary policy transmission mechanism. The author focuses on such aspects of analysis as logic and understanding of transmission mechanism as an integrated system with a complex and interconnected internal structure. The description of key transmission mechanism channels is accompanied by conclusions for the Russian economy. The author sincerely hopes that the article will be only the first step ahead to a fruitful discussion and comprehensive analysis of the current state of the transmission mechanism as well as its future developments in conjunction with ministries as well as expert community.

The Cost Channel of Monetary Policy Transmission in the Russian Economy

Shestakov Daniel

Mechanics of the channels of monetary policy transmission mechanism is crucial for policy conduct of the Bank of Russia. Cost channel is the only channel that implies that growing interest rates could increase inflation. This article explores evidence for and against the cost channel in the Russian economy, especially the price puzzle. It is shown that price puzzle disappears when a proper TVP-FAVAR modeling setup is formulated, which could account for shifts in the Russian economy as well as in monetary policy regime. It could be suggested that any evidence for the presence of the cost channel belongs only to the beginning of the sample and vanishes completely after 2013.

The Impact of Money Market Interest Rates on Retail Interest Rates

Kreptsev Dmitry, Seleznev Sergei

In this paper, we study the impact of monetary policy shock (the shock of money market rates) on interest rates on loans to non-fi-nancial organizations in the period from February 2003 to March 2015. Due to the structural changes in the Russian economy, including the shift to inflation targeting, standard linear models may not find a link even if it exists. To test the significance we use a set of different models (i.e.assumptions about data generation process) starting with estimates using VAR models and gradually complicating the structure. We show that all models demonstrate significant, but numerically different responses. The maximum effect obtained with the TVP-FAVAR model is estimated at 1.1-1.2 for short-term rates and 0.6-0.7 for long-term rates.

The Money Multiplier in Modern Financial Systems

Grischenko Vadim

This paper considers the mechanisms of money supply creation: deposit, reserve and money multipliers. Having analysed the evolution of banking practices and monetary policy regimes we arrive at a conclusion that nowadays banks do not accumulate reserves in order to lend while the dynamics of cash in circulation has only but few macroeconomic implications. Therefore, the multipliers have become less informative. However, this does not challenge the need of the money and reserve demand estimation for monetary policy strategy and implementation.

Two Monetary Policy Components in Russia: An Assessment for Bulk Data

Pestova Anna, Rostova Natalia

In this paper, we estimate the trend of monetary policy in Russia based on the decomposition of key monetary variables into two parts. The first part is supposed to be the response of monetary variables to the state of the economy spanned by the set of fundamental macroeconomic shocks. These shocks are extracted from the dynamic factor model estimated for a large number of variables. The second, residual, component is estimated from the comovement of innovations of the monetary variables. This allows us to uncover the common unobservable component, or the policy «trend». We show that the correlation of innovations of the monetary variables cannot be described by the first principal component. However, it could be explained by the two principal components corresponding to the interest rate channel and the quantitative effect of monetary policy. The results show that during the pre-crisis period the quantitative variables (such as monetary aggregates or foreign currency interventions) were dominating while after the 2008-2009 the priority of instruments has changed: the interest rates came to the fore. This result coincides with the qualitative analysis carried out by Pestova (2017). Our approach allows eliciting the periods of the monetary tightening and easing. The proposed methodology could be used in the analysis of the policy compliance with macroeconomic conditions.

MONETARY POLICY RULES FOR RUSSIA, SOME NEW RESULTS

KORHONEN IIKKA, NUUTILAINEN RIIKKA

We estimate several monetary policy rules for Russia for the period 2004-2017. We find that traditional Taylor rule is reasonably good description of the conduct of monetary policy in Russia, both when coefficients are restricted to be the same over the sample period and when they are allowed to change. We find that Bank of Russia has often overshot its inflation target, and large overshootings are associated with large depreciations of the rouble, which testifies to the importance of exchange rate in conduct of monetary policy in Russia.

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