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Declared and actual policy of the Russian Central Bank in 2000–2008: how large is the difference? (in Russian)

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  • Andrey Sinyakov

    (Sberbank of Russia, Moscow, Russia)

Abstract

There is an opinion that the Russian Central Bank's actual policy in 2000–2008 was real exchange rate targeting. At the same time, the Central Bank regularly declared inflation targets, but regularly missed them. We estimate a simple structural threshold VAR model of the Russian economy to test for these two regimes of the CB's policy. Our testing procedure is based on applying the bootstrap to the estimated TVAR model. We find significant nonlinearity (two policy regimes) caused by endogenous switching between regimes based on past month inflation. The Central Bank by changing its targets was not able to commit to inflation reduction in that period of time, hence facing the issue of credible monetary policy. After the global financial crisis the CB declared its commitment to inflation targeting. But, based on our findings, the policy will be successful only if the Central Bank actually commits itself to reaching inflationary goals.

Suggested Citation

  • Andrey Sinyakov, 2013. "Declared and actual policy of the Russian Central Bank in 2000–2008: how large is the difference? (in Russian)," Quantile, Quantile, issue 11, pages 91-106, December.
    • Handle: RePEc:qnt:quantl:y:2013:i:11:p:91-106
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    References listed on IDEAS

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    Cited by:

    1. Mohamed El-Hodiri & Bulat Mukhamediyev, 2014. "Monetary Policy Rules in Some Transition Economies," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 2(3), pages 26-44.

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    More about this item

    Keywords

    structural TVAR; bootstrap; generalized impulse response functions; inflation targeting; real exchange rate targeting;
    All these keywords.

    JEL classification:

    • 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
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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