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Analysis of the Bank of Russia information policy

Author

Listed:
  • S. Drobyshevsky
  • P. Trunin
  • A. Bozhechkova
  • E. Gorunov
  • D. Petrova

Abstract

The article investigates the Bank of Russia information policy using a new approach to measuring information effects on Russian data, including the analysis of the tonality of news reports, as well as internet users’ queries on Google. The efficiency of regulator’s information signals is studied using EGARCH-, VAR- models, as well as nonparametric tests. The authors conclude that the regulator communicates effectively in terms of the predictability of interest rate policy, the degree to which information signals affect the money and foreign exchange markets.

Suggested Citation

  • S. Drobyshevsky & P. Trunin & A. Bozhechkova & E. Gorunov & D. Petrova, 2017. "Analysis of the Bank of Russia information policy," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 10.
    • Handle: RePEc:nos:voprec:y:2017:id:351
    DOI: 10.32609/0042-8736-2017-10-88-110
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