Transmissija monetarnyh šokov v stranah s maloj otkrytoj èkonomikoj

0551886 - NHU-C 2022 RIV RU rus J - Journal Article
Mamonov, Mikhail - Pestova, Anna
Transmissija monetarnyh šokov v stranah s maloj otkrytoj èkonomikoj.
[Transmission of monetary policy shocks in small open emerging market economies.]
Zhournal Novoi Ekonomicheskoi Associacii. Roč. 52, č. 4 (2021), s. 37-65. ISSN 2221-2264
Institutional support: Progres-Q24
Keywords : monetary policy shocks * small open economies * emerging market economies
OECD category: Applied Economics, Econometrics
Method of publishing: Open access
https://doi.org/10.31737/2221-2264-2021-52-4-2

V statʹe provoditsja sravnitelʹnyj analiz transmissii šokov denežno-kreditnoj politiki na pokvartalʹnyh dannyh 13 stran s formirujuŝimsja rynkom v periody infljacionnogo targetirovanija (s konca 1990-h godov). Sravnenie provoditsja otnositelʹno Velikobritanii, vybrannoj v kačestve strany-ètalona. Čtoby ocenitʹ transmissiju monetarnyh šokov v realʹnuju èkonomiku i finansovyj sektor, my primenjaem standartnuju monetarnuju VAR-modelʹ i dopolnjaem ee peremennoj uslovij torgovli syrʹevymi tovarami. Šoki vydeljajutsja s pomoŝʹju naloženija ograničenij na znaki funkcij otklika v ramkah VAR: ograničitelʹnyj šok zadaetsja kak realizacija trojnogo sobytija — neožidannogo povyšenija procentnoj stavki, sokraŝenija infljacii (indeksa potrebitelʹskih cen, IPC) i sprosa na denʹgi (M2). My primenjaem bajesovskij podhod k ocenke VAR-modelej, čtoby oslabitʹ problemu prokljatija razmernosti. Analiz pokazal, čto denežno-kreditnaja politika v stranah s razvivajuŝimisja rynkami harakterizuetsja ne menʹšej èffektivnostʹju, čem v Velikobritanii: monetarnye šoki sderživajut infljacionnye processy, sglaživajut kolebanija biznes-cikla, no soprovoždajutsja ottokom sredstv s fondovyh rynkov. Tak, monetarnyj šok, pri kotorom stavka rastet na 1 p.p., vedet k sokraŝeniju godovyh tempov VVP na 2,5 p.p. v stranah s formirujuŝimisja rynkami i na 2,8 p.p. — v Velikobritanii. Sdelannye na osnovanii analiza vyvody dobavljajut novye èmpiričeskie svidetelʹstva o tom, kak ustroena transmissija monetarnyh šokov v realʹnuju èkonomiku i finansovyj sektor stran s formirujuŝimisja rynkami i, takim obrazom, podderživajut diskussiju o realʹnyh posledstvijah šokov denežno-kreditnoj politiki.

In this paper, we compare the transmission of monetary policy shocks using quarterly data for 13 emerging market economies (EMEs) with that in a benchmark advanced open economy, the United Kingdom, in the periods of inflation targeting (from 1990s onward). To estimate the transmission within a given country, we specify a monetary VAR-model and we extend it with a variable reflecting commodities terms of trade. We identify monetary policy shocks using a sign restriction scheme: a restrictive shock is determined as an unexpected rise of policy rate and reduction of inflation (CPI) and money demand (M2). We apply the Bayesian approach to estimating VARs to address the curse of dimensionality. Our results indicate that monetary policy in EMEs is not less efficient comparable to the U.K.: restrictive monetary shocks decrease inflation but also lead to a slowdown of GDP and stock market outflows. Overall, our findings add to the debate on the real effects of monetary policy surprises with a special attention to a large set of EMEs.
Permanent Link: http://hdl.handle.net/11104/0327090