Two-Dimensional Monetary Policy Shocks in DSGE-Model Estimated for Russia

Andrei Shulgin

Journal of the New Economic Association, 2017, vol. 33, issue 1, 75-115

Abstract: In the paper DSGE model is estimated with two independent monetary instruments and limited ability to perform intertemporal optimization of households' consumption. The model is estimated on the Russian data of 2001-2014 for revealing two-dimensional monetary policy shocks: foreign exchange rate shocks and interest rate shocks. The estimation takes into account structural break in parameters of monetary policy rules happened at the end of 2008. Decomposing key macroeconomic variables on structural shocks allows to conclude that Bank of Russia had used its discretionary monetary power to struggle inflation and Ruble devaluation at the expense of recession deepening in the period of world financial crises of 2008-2009. Analyzing transmission mechanisms for two monetary policy instruments the conclusion was made that discretionary foreign exchange market interventions should be used in a situation of stagflation caused by strong negative balance of payments shocks.

Keywords: DSGE; monetary policy shocks; balance of payments shocks; discretionary monetary power; foreign exchange market interventions; two monetary policy instruments; inflation stabilization; Russia (search for similar items in EconPapers)
JEL-codes: E52 E58 F41 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.econorus.org/repec/journl/2017-33-75-115r.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:nea:journl:y:2017:i:33:p:75-115

Access Statistics for this article

Journal of the New Economic Association is currently edited by Victor Polterovich and Aleksandr Rubinshtein

More articles in Journal of the New Economic Association from New Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Alexey Tcharykov ().