Assessing the predictability of market interest rate changes on Central Bank of Russia press release days

Viktoriia Bannikova () and Sofya Kolesnik ()
Additional contact information
Viktoriia Bannikova: Lomonosov Moscow State University, RANEPA, Moscow, Russian Federation
Sofya Kolesnik: Lomonosov Moscow State University, Gaidar Institute for Economic Policy, Moscow, Russian Federation;

Applied Econometrics, 2025, vol. 77, 25-45

Abstract: This study proposes a new approach to identifying monetary shocks for the Russian economy. Unlike existing research that applies high-frequency data, the presented method is based on a more precise definition of monetary policy shocks. The new identification explicitly considers the unpredictability of monetary shocks based on past information, specifically published macroeconomic forecasts. An instrumental approach is used because the regulator's forecasts typically incorporate the current key rate decision and are highly correlated with analysts’ forecasts known at the time of the Central Bank of Russia’s press release. Econometric estimates of impulse responses of macroeconomic variables show that traditional key rate regulation, along with the publication of medium-term economic forecasts by the Central Bank, has a statistically significant restraining effect on inflation and economic activity.

Keywords: monetary shock; monetary policy surprises; high-frequency identification; predictability; Central Bank forecasts (search for similar items in EconPapers)
JEL-codes: C22 C23 E52 G14 (search for similar items in EconPapers)
Date: 2025
References: View references in EconPapers View complete reference list from CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:ris:apltrx:0514

Access Statistics for this article

Applied Econometrics is currently edited by Anatoly Peresetsky

More articles in Applied Econometrics from Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Bibliographic data for series maintained by Anatoly Peresetsky ().