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“Credit view” on monetary policy in Russia

Author

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  • Pestova, Anna

    (MGIMO University, Moscow, Russia; Center for Economic Research and Graduate Education, CERGE-EI, Prague, Czech Republic)

Abstract

In this paper, I assess the effectiveness of credit channels of monetary transmission in Russia. I use a dynamic factor model with monetary policy shocks identified using sign restrictions approach. The analysis confirmed the effectiveness of the bank lending channel for consumer loans and short- and medium-term corporate loans. A significant effect of monetary impulses on bank capital was found. At the same time, borrowers’ balance sheet channel is not amplifying, but, on the contrary, restraining the effect of monetary shocks on the economy

Suggested Citation

  • Pestova, Anna, 2020. "“Credit view” on monetary policy in Russia," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 72-88.
  • Handle: RePEc:ris:apltrx:0388
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    References listed on IDEAS

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    More about this item

    Keywords

    monetary policy; credit channel; bank lending channel; balance sheet channel; dynamic factor model; structural identification; monetary policy shocks;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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