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Interest Rate Rule For The Russian Monetary Policy : Nonlinearity And Asymmetricity

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  • IKEDA, TARO

Abstract

This study reconsiders the interest rate rule for the Russian monetary policy, of which no evidence was found in earlier studies. This study successfully estimates an interest rate rule. In order to obtain this result, we follow Surico (2007).s nonlinear approach. The main contributions of this study are as follows. Our empirical results indicate that the Russian monetary policy follows a nonlinear interest rate rule. Further, we clarify the preference of the monetary policy in subsample estimation. When the 1998 financial crisis is considered, Russia.s preference for output expansion is evident. According to Surico, this increases inflation in Russia.

Suggested Citation

  • Ikeda, Taro, 2010. "Interest Rate Rule For The Russian Monetary Policy : Nonlinearity And Asymmetricity," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 51(1), pages 1-11, June.
  • Handle: RePEc:hit:hitjec:v:51:y:2010:i:1:p:1-11
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    File URL: http://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/18601/1/HJeco0510100010.pdf
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    References listed on IDEAS

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    1. Esanov, Akram & Merkl, Christian & Vinhas de Souza, Lucio, 2005. "Monetary policy rules for Russia," Journal of Comparative Economics, Elsevier, vol. 33(3), pages 484-499, September.
    2. Svensson, Lars E. O., 1997. "Inflation forecast targeting: Implementing and monitoring inflation targets," European Economic Review, Elsevier, vol. 41(6), pages 1111-1146, June.
    3. Barro, Robert J. & Gordon, David B., 1983. "Rules, discretion and reputation in a model of monetary policy," Journal of Monetary Economics, Elsevier, vol. 12(1), pages 101-121.
    4. Richard Clarida & Jordi Galí & Mark Gertler, 2000. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," The Quarterly Journal of Economics, Oxford University Press, vol. 115(1), pages 147-180.
    5. Ruge-Murcia, Francisco J, 2003. " Inflation Targeting under Asymmetric Preferences," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(5), pages 763-785, October.
    6. Jordi Galí, 2008. "Introduction to Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework," Introductory Chapters,in: Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework Princeton University Press.
    7. Christian Merkl, 2008. "Galí J: Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework," Journal of Economics, Springer, vol. 95(2), pages 179-181, November.
    8. Paolo Surico, 2003. "Asymmetric Reaction Functions for the Euro Area," Oxford Review of Economic Policy, Oxford University Press, vol. 19(1), pages 44-57.
    9. Surico, Paolo, 2007. "The Fed's monetary policy rule and U.S. inflation: The case of asymmetric preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 305-324, January.
    10. Kydland, Finn E & Prescott, Edward C, 1977. "Rules Rather Than Discretion: The Inconsistency of Optimal Plans," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 473-491, June.
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    Cited by:

    1. Oxana Malakhovskaya & Alexey Minabutdinov, 2014. "Are commodity price shocks important? A Bayesian estimation of a DSGE model for Russia," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 4(1/2), pages 148-180.

    More about this item

    Keywords

    nonlinear rule; asymmetric objective; Bank of Russia;

    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
    • P51 - Economic Systems - - Comparative Economic Systems - - - Comparative Analysis of Economic Systems

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