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Optimization of Simple Monetary Policy Rules on the Base of Estimated DSGE-model

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  • Shulgin, A.

    (National Research University Higher School of Economics, Nizhny Novgorod, Russia)

Abstract

Optimization of coefficients in monetary policy rules is performed on the base of the DSGE-model with two independent monetary policy instruments estimated on the Russian data. It was found that welfare maximizing policy rules lead to inadequate result and pro-cyclical monetary policy. Optimal coefficients in Taylor rule and exchange rate rule allow to decrease volatility estimated on Russian data of 2001-2012 by about 20%. The degree of exchange rate flexibility parameter was found to be lower than its current value. It means that Bank of Russia has to systematically smooth exchange rate dynamics when it will adopt inflation targeting in 2015.

Suggested Citation

  • Shulgin, A., 2015. "Optimization of Simple Monetary Policy Rules on the Base of Estimated DSGE-model," Journal of the New Economic Association, New Economic Association, vol. 26(2), pages 64-98.
    • Handle: RePEc:nea:journl:y:2015:i:26:p:64-98
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    References listed on IDEAS

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    Cited by:

    1. Andrey G. Shulgin, 2017. "A Simple Theoretical Setup for the Evaluation of Sterilized Intervention Effectiveness in a Small Open Commodity Exporting Economy," HSE Working papers WP BRP 170/EC/2017, National Research University Higher School of Economics.

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    More about this item

    Keywords

    exchange rate rule; optimal monetary policy rules; DSGE; intermediate exchange rate regime; inflation targeting; Russia;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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