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Monetary policy rules and their application in Russia

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  • Vdovichenko Anna

    ()

  • Voronina Victoria

    ()

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    Abstract

    This paper examines the Bank of Russia behaviour in post crisis period. Special attention is devoted to econometric modelling of monetary policy rules of various types. Standard model is modified in a number of ways and estimated with the use of alternative econometric techniques (GMM, OLS and TSLS methodology). One of the modifications is set in the form of a system of two simultaneous equations, describing dynamics of intervention on foreign currency market and sterilisation of excess liquidity by the Bank of Russia. Empirical results support preliminary assumptions made on the basis of qualitative analysis of terms and principles of monetary and exchange rate policy in 1999-2003. Thus, interest rate policy of the Central Bank has had rather adaptive format, while management of base money dynamics possessed pronounced stabilising pattern. Another major finding lie in the fact that despite officially declared priority of anti-inflation policy major efforts of the Bank of Russia were turned to the regulation of the exchange rate. There are some reasons to suggest that the Central Bank intervened in the exchange market with the aim to affect not only the smoothness of the exchange rate but also its level.

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    Bibliographic Info

    Paper provided by EERC Research Network, Russia and CIS in its series EERC Working Paper Series with number 04-09e.

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    Length: 42 pages
    Date of creation: 13 Jul 2004
    Date of revision:
    Handle: RePEc:eer:wpalle:04-09e

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    Postal: EERC Research Network, Russia and CIS, 1, Mazepy Str., suite 202, Kyiv, 01010 Ukraine
    Phone: +38(044)492-8012
    Fax: +1(202)478-1968
    Web page: http://www.eerc.ru

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    Postal: EERC Research Network, Russia and CIS, 1, Mazepy Str., suite 202, Kyiv, 01010 Ukraine
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    Web: https://eerc.ru/paper

    Related research

    Keywords: Russia; monetary and exchange rate policy; monetary policy rule; intervention; sterilisation;

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    Cited by:
    1. Esanov, Akram & Merkl, Christian & Vinhas de Souza, LĂșcio, 2004. "Monetary Policy Rules for Russia," BOFIT Discussion Papers 11/2004, Bank of Finland, Institute for Economies in Transition.
    2. Kirill Sosunov & Oleg Zamulin, 2007. "Monetary Policy in an Economy Sick with Dutch Disease," Working Papers w0101, Center for Economic and Financial Research (CEFIR).
    3. Popov, Vladimir, 2005. "Exchange rate in a resource based economy in the short term: the case of Russia," MPRA Paper 28115, University Library of Munich, Germany.
    4. Victoria V. Dobrynskaya, 2008. "The Monetary and Exchange Rate Policy of the Central Bank of Russia under Asymmetrical Price Rigidity," Journal of Innovation Economics, De Boeck Université, vol. 0(1), pages 29-62.

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