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Байесовский подход к анализу влияния монетарной политики на макроэкономические показатели России. Bayesian approach to the analysis of monetary policy impact on Russian macroeconomics indicators

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  • и управления Мир экономики

    (Новосибирский государственный университет)

Abstract

С помощью модели байесовской векторной авторегрессии (Bayesian vector autoregression, BVAR) рассматривается связь производственных макроэкономических показателей экономики России с импульсами ставки денежного рынка MIBOR, а также показателей инфляции – с импульсами денежного агрегата М2. В качестве априорного распределения параметров и ковариационной матрицы ошибок используется сопряженное нормальное обратное Уишарта распределение (Conjugate Normal Inverted Wishart Prior). Согласно проведенному исследованию, жесткая монетарная политика оказывает сдерживающее воздействие на российскую экономику. Рост ставки денежного рынка вызывает сокращение инвестиций в основной капитал и выпуск в основных отраслях экономики, а также падение доходов населения при росте уровня безработицы. Наряду с краткосрочными это имеет и долгосрочные негативные последствия. In this paper the interaction between the production macroeconomic indicators of the Russian economy and MIBOR (the main operational benchmark of the Bank of Russia), as well as the relationship between the inflation indicators and money supply were investigated with Bayesian approach. Conjugate Normal Inverse Wishart Prior was used. According to the study, tough monetary policy has a deterrent effect on the Russian economy. The growth of the money market rate causes a reduction in investments and output in the main sectors of the economy, as well as a drop in the income of the population with an increase in the unemployment rate.

Suggested Citation

  • И Управления Мир Экономики, 2017. "Байесовский подход к анализу влияния монетарной политики на макроэкономические показатели России. Bayesian approach to the analysis of monetary policy impact on Russian macroeconomics indicators," Мир экономики и управления // Вестник НГУ. Cерия: Cоциально-экономические науки, Socionet;Новосибирский государственный университет, vol. 17(4), pages 53-70.
    • Handle: RePEc:scn:guhrje:2017_4_04
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    References listed on IDEAS

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    More about this item

    Keywords

    макроэкономика; монетарная политика; ставка денежного рынка MIBOR; BVAR; байесовская векторная авторегрессия macroeconomics; monetary policy; MIBOR; BVAR; Bayesian methods;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • 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

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