Monetary policy rules and their application in Russia
Vdovichenko Anna () and
Voronina Victoria ()
EERC Working Paper Series from EERC Research Network, Russia and CIS
Abstract:
This paper examines the Bank of Russia behaviour in post crisis period. Special attention is devoted to econometric modelling of monetary policy rules of various types. Standard model is modified in a number of ways and estimated with the use of alternative econometric techniques (GMM, OLS and TSLS methodology). One of the modifications is set in the form of a system of two simultaneous equations, describing dynamics of intervention on foreign currency market and sterilisation of excess liquidity by the Bank of Russia. Empirical results support preliminary assumptions made on the basis of qualitative analysis of terms and principles of monetary and exchange rate policy in 1999-2003. Thus, interest rate policy of the Central Bank has had rather adaptive format, while management of base money dynamics possessed pronounced stabilising pattern. Another major finding lie in the fact that despite officially declared priority of anti-inflation policy major efforts of the Bank of Russia were turned to the regulation of the exchange rate. There are some reasons to suggest that the Central Bank intervened in the exchange market with the aim to affect not only the smoothness of the exchange rate but also its level.
Keywords: Russia; monetary and exchange rate policy; monetary policy rule; intervention; sterilisation (search for similar items in EconPapers)
JEL-codes: E52 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2004-07-13
New Economics Papers: this item is included in nep-cba, nep-cis, nep-mac and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)
Downloads: (external link)
https://eercnetwork.com/default/download/creater/w ... c0f32912e340fd4c.pdf (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eer:wpalle:04-09e
Ordering information: This working paper can be ordered from
EERC Research Network, Russia and CIS, 92/94, Dmytrivska Str., suite 404, Kyiv, 01135 Ukraine
https://eercnetwork.com/paper
Access Statistics for this paper
More papers in EERC Working Paper Series from EERC Research Network, Russia and CIS EERC Research Network, Russia and CIS, 92/94, Dmytrivska Str., suite 404, Kyiv, 01135 Ukraine.
Bibliographic data for series maintained by Anton Pashchenko ().