Monetary policy rules for Russia

Esanov, Akram; Merkl, Christian; Souza, Lúcio Vinhas de

doi:10.1016/j.jce.2005.05.003

Cited by 42 publications

(19 citation statements)

References 15 publications

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“…The results displayed in Figure 2a show that a positive interest rate shock leads to (i) a strong and persistent contractionary effect on GDP; (ii) a fall in the price of raw materials; (iii) an appreciation of the exchange rate; and (iv) a negative and persistent effect on the equity markets, which reach a trough of −10% after two quarters. Esanov, Merkl, and Vinhas de Souza (2005) show that, during the period 1993-2002, the Bank of Russia used monetary aggregates as a main policy instrument in conducting monetary policy. 1 The impulse-response functions of Figure 2b roughly "mirror" the ones in Figure 2a.…”

Section: The B-svar Frameworkmentioning

confidence: 99%

Real Effects of Monetary Policy in Large Emerging Economies

2011

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This paper provides evidence on monetary policy transmission for five key emerging market economies: Brazil, Russia, India, China, and South Africa. Monetary policy (interest rate) shocks are identified using modern Bayesian methods along with the more recent sign restrictions approach. We find that contractionary monetary policy has a strong and negative effect on output. We also show that such contractionary monetary policy shocks do tend to stabilize inflation in these countries in the short term, while producing a strongly persistent negative effect on real equity prices. Overall, the impulse responses are robust to the alternative identification procedures.

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Section: The B-svar Frameworkmentioning

confidence: 99%

Real Effects of Monetary Policy in Large Emerging Economies

2011

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“…At the same time, a stimulating monetary policy causes a drop in the national currency's exchange rate, which also helps to increase prices. But, as a number of studies have shown, 15 the exchange rate is one target of the central bank's monetary policy. Thus, monetary policy is endogenous in relation to the exchange rate and, following economic theory, needs to be taken into account when estimating pass-through.…”

Section: Analysis Of Exchange Rate Pass-through To the Aggregated Conmentioning

confidence: 99%

The Relationship Between the Exchange Rate and Inflation in Russia

Kataranova

2010

Problems of Economic Transition

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The article estimates the short-and medium-run exchange rate pass-through effect on consumer prices on the aggregate level and for individual groups of goods and services for the period from 2000 to 2008. It shows that the improvement of certain macroeconomic indicators in recent years in Russia has not led to a reduction in the pass-through effect on inflation as in other countries. The pass-through effect has a pronounced asymmetrical character, that is, consumer prices are more likely to respond to the depreciation of the domestic currency, rather than to its appreciation.Considerable ruble depreciation in relation to the main international currencies at the end of 2008 and beginning of 2009, against the background of the global economic and financial crisis, once again intensified discussions of the effect of exchange rate fluctuations on consumer prices. Recall that a sharp drop in the exchange rate of the national currency during the financial crisis of 1998 was the primary cause of a surge of inflation. Debate about the optimal exchange rate policy did not fade even in later years, when a trend toward ruble appreciation was more and more clearly traced. 1 The exchange rate's effect on price levels in the national currency is determined by exchange rate pass-through. This problem has two aspects: first, Downloaded by [New York University] at 11:47 30 May 2015

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“…Moreover, a stimulating monetary policy causes a drop in the Russian rouble. Meaning that monetary policy is endogenous in relation to the rouble, as demonstrated by previous studies, see [7]. Using a three variables model, [8] get interested in effects induced by the switch to a floating exchange rate of rouble in November 2015.…”

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confidence: 97%

Contemporary Literature Review of the Russian Rouble Determinants

Bali¹

2021

EPI

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This short literature review’s goal is to examine available papers regarding the study of Russian Rouble determinants. For purpose of analysis, 35 articles were studied among which 22 were selected, for a total of 414 pages shelled. This work analyzes most recent empirical articles, in order to identify factors responsible for the Russian currency fluctuations. Different models will be compared to learn if some are more effective than others, from basic Linear regression to Structural vector autoregressive, through Ordinary least squares or Vector error correction models. Moreover, a very special and particular attention will be paid to variables used. Which combinations of variables are used to study factors influencing the Russian currency? While it seems vital to include oil prices, interest rate, and consumer price index, is it important to have them all together in the same model? Are results among papers similar? In addition, would it be necessary to add variables such as GDP, gold price, gas price, M2 aggregate or sanctions? However, this paper will compare data from each model and try to find out if there is one best way to study the Russian currency determinants.

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Monetary policy rules for Russia

Cited by 42 publications

References 15 publications

Real Effects of Monetary Policy in Large Emerging Economies

Real Effects of Monetary Policy in Large Emerging Economies

The Relationship Between the Exchange Rate and Inflation in Russia

Contemporary Literature Review of the Russian Rouble Determinants

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