Modelirovaniye vozdeystviya monetarnykh shokov na inflyatsiyu s pomoshch'yu vysokochastotnogo podkhoda

0544656 - NHU-C 2022 RIV RU rus J - Journal Article
Bannikova, V. A. - Pestova, Anna
Modelirovaniye vozdeystviya monetarnykh shokov na inflyatsiyu s pomoshch'yu vysokochastotnogo podkhoda.
[The effects of monetary shocks on inflation: high-frequency approach.]
Voprosy Ekonomiki. Roč. 2021, č. 6 (2021), s. 47-76. ISSN 0042-8736
R&D Projects: GA MŠMT(CZ) SVV260611
Institutional support: Progres-Q24
Keywords : monetary policy * open economies * VARs
OECD category: Applied Economics, Econometrics
Method of publishing: Limited access
https://doi.org/10.32609/0042-8736-2021-6-47-76

Standartnyye identifikatsii monetarnykh shokov neredko ustupayut vysokochastotnomu podkhodu v ustoychivosti k empiricheskim «zagadkam». Odnako neobkhodimyye dlya nego pominutnyye dannyye ne vsegda dostupny v silu nedostatochnoy likvidnosti protsentnykh f'yuchersov v stranakh s razvivayushchimisya rynkami. V stat'ye predlagayetsya novaya vneshnyaya instrumental'naya peremennaya dlya identifikatsii shokov protsentnoy politiki na osnove dannykh f'yuchers- i spot-kursov valyutnoy pary dollar—rubl'. Proveden analiz effektov monetarnykh shokov na periode upravleniya protsentnymi stavkami 2010—2019 gg. V otlichiye ot predydushchikh rabot, dlya perioda pered krizisom 2014 g. ne obnaruzhena tsenovaya zagadka ili drugiye kontrintuitivnyye s tochki zreniya znaka impul'snyye funktsii otklikov v otvet na uzhestocheniye DKP. Odnako sderzhivayushcheye vozdeystviye protsentnoy politiki na inflyatsiyu dlya perioda povysheniya protsentnykh stavok, vklyuchayushchego krizis 2014—2015 gg., ne vyyavleno, chto svyazano s osobennostyami rascheta instrumenta. V sluchaye isklyucheniya iz analiza krizisnogo perioda kontsa 2014 g. poluchennyye otsenki effektov monetarnykh shokov sootvetstvuyut teoreticheskim predstavleniyam i opytu zarubezhnykh rabot: nablyudayetsya sderzhivayushcheye vozdeystviye na tseny i ekonomicheskuyu aktivnost', snizhayutsya fondovyye indeksy, obyem bankovskogo kreditovaniya i torgovogo balansa, ukreplyayetsya kurs rublya i rastut kreditnyye spredy. Proverka ustoychivosti otsenok k nalichiyu vozmozhnoy nemonetarnoy informatsii v instrumentakh vyyavila ikh robastnost' k peresmotru ozhidaniy otnositel'no osnovnykh makroekonomicheskikh peremennykh (klyuchevoy stavki, inflyatsii, vypuska).

Commonly used in monetary VARs identification schemes yield to a high-frequency approach as they tend to raise different empirical puzzles reported in the literature. However, financial markets in some open economies are not sufficiently liquid to provide minute bars data on interest rate financial instruments. This paper fills this gap employing a new series of high-frequency monetary policy surprises with USD/RUB currency futures and spot instruments. We find that a monetary tightening is contractionary without price puzzle and other paradoxes about financial variables. This result is robust for the period 2010-2019 apart from the crisis of 2014-2015 when the free floated ruble was devalued due to the sharp decline in oil prices. We also decompose surprises on monetary policy shocks - changes in the expected interest rate, and an information component - the information simultaneously conveyed by the central bank like an assessment of the economic outlook. We find that the former one significantly affects monetary policy surprises that does not confirm a hypothesis about substantial impact of non-monetary news on the external instrument.
Permanent Link: http://hdl.handle.net/11104/0321498