Spillover Effects of Russian Monetary Policy Shocks on the Eurasian Economic Union

Vladislav Abramov ()
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Vladislav Abramov: Bank of Russia, Russian Federation

No wps60, Bank of Russia Working Paper Series from Bank of Russia

Abstract: Russian monetary policy could translate on the countries of Eurasian Economic Union (EAEU) through different channels. However, there is still a lack of evidence of the significance of so called spillover effects of Russian monetary policy. This work investigates the influence of Russian monetary policy shocks, proxied by shocks of MIACR, on the EAEU countries. For that purpose, firstly, monetary policy shocks were identified via FAVAR model for the Russian economy, estimated on the monthly data of more than 50 indicators. Further, separately for each country of the union VAR models with previously extracted MP shocks were estimated and both impulse response functions (IRF) and forecast error variance decomposition (FEVD) were analysed. The main result of the work is that effects of shocks in MIACR on industrial production and inflation are not statistically significant. At the same time, such shocks have statistically significant effect on money supply, nominal exchange rates and money market rates in some union’s countries. However, obtained effects are mostly small and heterogeneous.

Keywords: Transmission effects; monetary policy; Eurasian economic union (search for similar items in EconPapers)
JEL-codes: E52 E58 E59 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2020-07
New Economics Papers: this item is included in nep-cba, nep-cis, nep-mac, nep-mon and nep-tra
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