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Two-Dimensional Monetary Policy Shocks in DSGE-Model Estimated for Russia

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  • Shulgin, A.

    (National Research University Higher School of Economics, Nizhnii Novgorod, Russia)

Abstract

In the paper DSGE model is estimated with two independent monetary instruments and limited ability to perform intertemporal optimization of households' consumption. The model is estimated on the Russian data of 2001-2014 for revealing two-dimensional monetary policy shocks: foreign exchange rate shocks and interest rate shocks. The estimation takes into account structural break in parameters of monetary policy rules happened at the end of 2008. Decomposing key macroeconomic variables on structural shocks allows to conclude that Bank of Russia had used its discretionary monetary power to struggle inflation and Ruble devaluation at the expense of recession deepening in the period of world financial crises of 2008-2009. Analyzing transmission mechanisms for two monetary policy instruments the conclusion was made that discretionary foreign exchange market interventions should be used in a situation of stagflation caused by strong negative balance of payments shocks.

Suggested Citation

  • Shulgin, A., 2017. "Two-Dimensional Monetary Policy Shocks in DSGE-Model Estimated for Russia," Journal of the New Economic Association, New Economic Association, vol. 33(1), pages 75-115.
    • Handle: RePEc:nea:journl:y:2017:i:33:p:75-115
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    Cited by:

    1. Anton I. Votinov & Maria A. Elkina, 2018. "Estimation of Fiscal Stimulus Efficiency in Russian Economy: Simple DSGE Model With Government Sector," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 5, pages 83-96, October.
    2. Georgiadis, Georgios & Jančoková, Martina, 2020. "Financial globalisation, monetary policy spillovers and macro-modelling: Tales from 1001 shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).
    3. Andrei Shulgin, 2018. "Sterilized Interventions in the Form of Foreign Currency Repos: VECM Analysis Using Russian Data," Russian Journal of Money and Finance, Bank of Russia, vol. 77(2), pages 68-80, June.
    4. Shulgin, A. & Shulgin, S., 2021. "Investments in the infrastructure of Siberia and the Far East. Macroeconomic analysis based on general equilibrium model," Journal of the New Economic Association, New Economic Association, vol. 49(1), pages 81-114.

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    More about this item

    Keywords

    DSGE; monetary policy shocks; balance of payments shocks; discretionary monetary power; foreign exchange market interventions; two monetary policy instruments; inflation stabilization; Russia;
    All these keywords.

    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
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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