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Asset prices, credit and the Russian economy

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Author Info

  • Haroon Mumtaz
  • Alexandra Solovyeva
  • Elena Vasilieva

Abstract

We examine the importance of macroeconomic effects of changes in asset prices and credit aggregates for the Russian economy. We show that the amplitude of the fluctuations of asset prices and lending was exceptionally large in 2006-2009. This implies that the asset price and the lending channel may be significant for Russia. We estimate a Bayesian VAR model with steady state priors and sign restrictions on impulse response functions. Our results suggest that an asset price bust and a credit squeeze have accentuated the impact of financial crisis on the real economy.Â

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Bibliographic Info

Paper provided by Centre for Central Banking Studies, Bank of England in its series Joint Research Papers with number 1.

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Date of creation: Jul 2012
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Handle: RePEc:ccb:jrpapr:1

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Keywords: Asset prices; credit and the Russian economy;

References

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  1. Olivier Blanchard & Changyong Rhee & Lawrence Summers, 1990. "The Stock Market, Profit and Investment," NBER Working Papers 3370, National Bureau of Economic Research, Inc.
  2. Roland Beck & Annette Kamps & Elitza Mileva, 2007. "Long-term growth prospects for the Russian economy," Occasional Paper Series 58, European Central Bank.
  3. A. Carriero & G. Kapetanios & M. Marcellino, 2010. "Forecasting Government Bond Yields with Large Bayesian VARs," Economics Working Papers ECO2010/17, European University Institute.
  4. Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2008. "Large Bayesian VARs," Working Papers ECARES 2008_033, ULB -- Universite Libre de Bruxelles.
  5. Gerdesmeier, Dieter & Roffia, Barbara & Reimers, Hans-Eggert, 2009. "Asset price misalignments and the role of money and credit," Working Paper Series 1068, European Central Bank.
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Cited by:
  1. Ponomarenko, Alexey, 2012. "Early warning indicators of asset price boom/bust cycles in emerging markets," BOFIT Discussion Papers 22/2012, Bank of Finland, Institute for Economies in Transition.

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