Industry effects of monetary policy in Russia: Econometric analysis

Elizaveta Dobronravova

Journal of the New Economic Association, 2022, vol. 55, issue 3, 45-60

Abstract: This paper presents the econometric analysis of the heterogenous effects of monetary policy on industrial output and producer prices in manufacturing sector in Russia. The estimation of the differences in the impulce responses to the interest rate shock is conducted using structural VAR-models, the analysis of key industrial characteristics, explaining differences through monetary transmission channes, is based on principal components and correlations. Our fi ndings reveal the strongest response to monetary policy in such industries as manufacture of rubber and plastic products, manufacture of non-metallic mineral products, manufacture of pulp and paper, manufacture of machinery nd equipment, manufacture of electrical, electronic and optical equipment and manufacture of motor vehicles and equipment. Besides, in these industries the response is usually deffered to 2-3 months after the shock. Our fi ndings also show that the impact of monetary shocks on output is particulary strong in industries producing capital goods and supplies for construction but particularly weak in industries with high concentration and high profi ts. That means that differences in industrial responses to monetary policy can be described by two key channels of monetary transmission - interest rate channel (due to high demand sensitivity to interest rate changes) and bank lending channel (due to important role of bank loans in fi rms' fi nancing).

Keywords: monetary policy; monetary transmission; industry effects; manufacturing industries (search for similar items in EconPapers)
JEL-codes: C22 E32 E52 L60 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:nea:journl:y:2022:i:55:p:45-60

DOI: 10.31737/2221-2264-2022-55-3-3

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