Optimization of Simple Monetary Policy Rules on the Base of Estimated DSGE-model

Andrei Shulgin

Journal of the New Economic Association, 2015, vol. 26, issue 2, 64-98

Abstract: Optimization of coefficients in monetary policy rules is performed on the base of the DSGE-model with two independent monetary policy instruments estimated on the Russian data. It was found that welfare maximizing policy rules lead to inadequate result and pro-cyclical monetary policy. Optimal coefficients in Taylor rule and exchange rate rule allow to decrease volatility estimated on Russian data of 2001-2012 by about 20%. The degree of exchange rate flexibility parameter was found to be lower than its current value. It means that Bank of Russia has to systematically smooth exchange rate dynamics when it will adopt inflation targeting in 2015.

Keywords: exchange rate rule; optimal monetary policy rules; DSGE; intermediate exchange rate regime; inflation targeting; Russia (search for similar items in EconPapers)
JEL-codes: E52 E58 F41 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:nea:journl:y:2015:i:26:p:64-98

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