Monetary Policy Surprises in Russia

Alexander Tishin

Russian Journal of Money and Finance, 2019, vol. 78, issue 4, 48-70

Abstract: This paper studies the monetary policy transmission in the Russian economy. The key question of this research is to determine how monetary policy affects the economy through currency exchange rates. I construct a series of monetary policy surprises for the Russian economy using the high-frequency identification approach. Many papers use futures on interest rates as monetary policy instruments; however, we do not have these futures on the Russian financial market. Therefore, I use different currency futures as monetary surprises because these futures are liquid, and they may reveal market sentiments. I take the dates when the Board of Directors of the Bank of Russia made a decision on the key rate and look at the changes in the currency exchange market in a tiny 30-minute window. Next, I construct a structural vector autoregression model to show the effect of these surprises on macroeconomic variables. In the identification process, I use the external instruments approach a la Gertler and Karadi (2015). Finally, I compare the results with other methods (Cholesky decomposition). I find that a tightening monetary policy significantly increases the bond rate; moreover, the effect on inflation is not immediate, but appears after a couple of months.

Keywords: monetary policy transmission; external instruments; high-frequency identification; SVAR; currency futures (search for similar items in EconPapers)
JEL-codes: E31 E32 E43 E44 E52 E58 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://rjmf.econs.online/upload/iblock/8db/Monetary_Policy_Surprises.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:bkr:journl:v:78:y:2019:i:4:p:48-70

DOI: 10.31477/rjmf.201904.48

Access Statistics for this article

Russian Journal of Money and Finance is currently edited by Ksenia Yudaeva

More articles in Russian Journal of Money and Finance from Bank of Russia Contact information at EDIRC.
Bibliographic data for series maintained by Olga Kuvshinova ().