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The effects of foreign exchange and monetary policies in Russia

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  • Ono, Shigeki
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    Abstract

    This paper examines the effects of Russian foreign exchange and monetary policies under conditions of abundant natural resources during the period 1999–2011 using structural VAR models. The results suggest that monetary policy shocks, which are identified as money supply disturbances, have a persistent effect on real output, and more than half of the volatility in real output can be explained by changes in the money supply. Furthermore, the analysis reveals that stock prices are a more significant transmission channel of monetary policy than bank loans.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0939362513000757
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    Bibliographic Info

    Article provided by Elsevier in its journal Economic Systems.

    Volume (Year): 37 (2013)
    Issue (Month): 4 ()
    Pages: 522-541

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    Handle: RePEc:eee:ecosys:v:37:y:2013:i:4:p:522-541

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    Keywords: Monetary policy; Natural resources; Structural VAR; Russia;

    References

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    20. Juurikkala, Tuuli & Solanko, Laura & Karas, Alexei, 2009. "The role of banks in monetary policy transmission: Empirical evidence from Russia," BOFIT Discussion Papers 8/2009, Bank of Finland, Institute for Economies in Transition.
    21. Oomes , Nienke & Kalcheva, Katerina, 2007. "Diagnosing Dutch disease: Does Russia have the symptoms?," BOFIT Discussion Papers 7/2007, Bank of Finland, Institute for Economies in Transition.
    22. Eric M. Leeper & Christopher A. Sims & Tao Zha, 1996. "What Does Monetary Policy Do?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 27(2), pages 1-78.
    23. Choudhry, T., 1998. "Another visit to the Cagan model of money demand: the latest Russian experience," Journal of International Money and Finance, Elsevier, vol. 17(2), pages 355-376, April.
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