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How much monetary policy rules do we need to estimate DSGE model for Russia?

Author

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  • Shulgin, Andrei

    () (Higher School of Economics, Moscow, Russia)

Abstract

This paper presents a three-sector DSGE model for a small open economy under the intermediate exchange rate regime. The central bank balance sheet equations are added to allow introducing two different monetary policy rules in the model. The principal question is how many independent monetary policy rules we need to describe Russian monetary policy in 2001–2012. To get an answer we perform Bayesian estimation of the DSGE model for four different combinations of monetary policy rules. The main finding of the paper is that describing dynamics of 14 observable variables requires using Taylor rule together with the exchange rate adjustment rule. Two rules do not make an overdeterminacy; they have original transmission channels and reflect two different stabilization principles: output and inflation stabilization (Taylor rule) vs. balance of payments stabilization (exchange ratebased rule).

Suggested Citation

  • Shulgin, Andrei, 2014. "How much monetary policy rules do we need to estimate DSGE model for Russia?," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 36(4), pages 3-31.
  • Handle: RePEc:ris:apltrx:0247
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    References listed on IDEAS

    as
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    Citations

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    Cited by:

    1. Shulgin, A., 2015. "Optimization of Simple Monetary Policy Rules on the Base of Estimated DSGE-model," Journal of the New Economic Association, New Economic Association, vol. 26(2), pages 64-98.
    2. repec:nea:journl:y:2017:i:33:p:75-115 is not listed on IDEAS
    3. repec:nos:voprec:2017-10-2 is not listed on IDEAS
    4. Рубинштейн Александр Яковлевич, "undated". "Рациональность & Иррациональность: Эволюция Смыслов
      [Rationality & Irrationality: Evolution of the Senses]
      ," Working papers a:pru175:ye:2017:1, Institute of Economics.

    More about this item

    Keywords

    DSGE models; intermediate exchange rate regime; Taylor rule; exchange rate rule; identification problem; 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
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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