The Econometric Estimation of the Macroeconomic Effects of the Shock of Monetary Policy for the Russian Economy

Эконометрическая оценка макроэкономических эффектов шока денежно-кредитной политики для российской экономики

Natalia Vashchelyuk, Andrey Polbin and Pavel Trunin

Working Papers from Russian Presidential Academy of National Economy and Public Administration

Abstract: The paper is devoted to identifying the shock of monetary policy and evaluating its impact on the main macroeconomic variables of the Russian economy with the help of the structural vector autoregression model. According to the results monetary policy shocks have a significant impact on the real sector of the Russian economy in the short term period and on the nominal variables (interest rates, price level, lending). Positive monetary policy shock leads to a temporary increase in output, the volume of lending, as well as to a reduction in nominal interest rates on loans. At the same time the contribution of monetary policy shocks to the variance of macroeconomic variables is small.

Keywords: monetary policy; macroeconomic variables; Russian economy (search for similar items in EconPapers)
Pages: 35 pages
Date: 2016-03-21
New Economics Papers: this item is included in nep-cba, nep-cis, nep-mac, nep-mon and nep-tra
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Persistent link: https://EconPapers.repec.org/RePEc:rnp:wpaper:2133

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