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Interest Rate Rule For The Russian Monetary Policy : Nonlinearity And Asymmetricity

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  • IKEDA, TARO
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    Abstract

    This study reconsiders the interest rate rule for the Russian monetary policy, of which no evidence was found in earlier studies. This study successfully estimates an interest rate rule. In order to obtain this result, we follow Surico (2007).s nonlinear approach. The main contributions of this study are as follows. Our empirical results indicate that the Russian monetary policy follows a nonlinear interest rate rule. Further, we clarify the preference of the monetary policy in subsample estimation. When the 1998 financial crisis is considered, Russia.s preference for output expansion is evident. According to Surico, this increases inflation in Russia.

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    File URL: http://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/18601/1/HJeco0510100010.pdf
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    Bibliographic Info

    Article provided by Hitotsubashi University in its journal Hitotsubashi Journal of Economics.

    Volume (Year): 51 (2010)
    Issue (Month): 1 (June)
    Pages: 1-11

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    Handle: RePEc:hit:hitjec:v:51:y:2010:i:1:p:1-11

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    Related research

    Keywords: nonlinear rule; asymmetric objective; Bank of Russia;

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    1. Lars E O Svensson, 1996. "Inflation Forecast Targeting: Implementing and Monitoring Inflation Targets," Bank of England working papers 56, Bank of England.
    2. Kydland, Finn E & Prescott, Edward C, 1977. "Rules Rather Than Discretion: The Inconsistency of Optimal Plans," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 473-91, June.
    3. Robert J. Barro & David B. Gordon, 1983. "Rules, Discretion and Reputation in a Model of Monetary Policy," NBER Working Papers 1079, National Bureau of Economic Research, Inc.
    4. Richard Clarida & Jordi Galí & Mark Gertler, 2000. "Monetary Policy Rules And Macroeconomic Stability: Evidence And Some Theory," The Quarterly Journal of Economics, MIT Press, vol. 115(1), pages 147-180, February.
    5. Esanov, Akram & Merkl, Christian & Vinhas de Souza, Lucio, 2005. "Monetary policy rules for Russia," Journal of Comparative Economics, Elsevier, vol. 33(3), pages 484-499, September.
    6. Paolo Surico, 2003. "Asymmetric Reaction Functions for the Euro Area," Oxford Review of Economic Policy, Oxford University Press, vol. 19(1), pages 44-57.
    7. Ruge-Murcia, Francisco J, 2003. " Inflation Targeting under Asymmetric Preferences," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(5), pages 763-85, October.
    8. Christian Merkl, 2008. "Galí J: Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework," Journal of Economics, Springer, vol. 95(2), pages 179-181, November.
    9. Jordi Galí, 2008. "Introduction to Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework
      [Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Ke
      ," Introductory Chapters, Princeton University Press.
    10. Surico, Paolo, 2007. "The Fed's monetary policy rule and U.S. inflation: The case of asymmetric preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 305-324, January.
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