IDEAS home Printed from https://ideas.repec.org/a/scn/financ/y2018i3p136-154.html
   My bibliography  Save this article

Моделирование Эффекта Переноса Валютного Курса На Цены В России // Modeling The Transfer Effect Of Exchange Rate On Prices In Russia

Author

Listed:
  • M. Tiunova G.

    (Lomonosov Moscow State university)

  • М. Тиунова Г.

    (Московский государственный университет им. М.В. Ломоносова)

Abstract

The article examines the relationship between the dynamics of the exchange rate and prices in Russia in a volatile environment of foreign markets and the change of the monetary and credit policy of the Bank of Russia.The purpose of this work is to assess the transfer effect of the nominal exchange rate of the ruble on the prices for consumers and producers in 2002–2017 in general and in the periods of relative homogeneity of the monetary policy regime in Russia. The analysis was based on statistical data on the Russian economy for the period 2002–2017. The method of econometric modelling is used to quantify the observed effects. The study is based on the apparatus of structural vector autoregressions, evaluated using Bayesian methods. The structural identifcation of the model is carried out by the recursive ranking of variables and decomposition of structural shocks elaborated by André-Louis Cholesky. Bayesian regularization is based on the application of a combination of independent normal and inverse Wishart’s a priori distributions. Qualitative interpretation of the results is based on the analysis of the impulse response functions. The results of the study confrm the existence of a statistically and economically signifcant relationship between the dynamics of the exchange rate and prices in Russia during the last two decades. The effect of exchange rate shocks is immediate. We showed that the impact of the exchange rate on consumer prices has remained signifcant for several years. The reaction of producer prices is greater than the effect observed for consumer prices. A sample of data for 2014–2017 indicates adecrease in the effect transfer of exchange rate and proved the effectiveness of inflation targeting. The transition to the policy of inflation targeting has reduced the dependence of inflation processes in Russia on the external market conditions and global risks. В статье исследуется взаимосвязь между динамикой валютного курса и цен в России в условиях волатильной конъюнктуры внешних рынков и смены режима денежно-кредитной политики Банка России. Цель работы состоит в оценке степени эффекта переноса номинального обменного курса рубля на цены потребителей и производителей в 2002–2017 гг. в целом и на периодах относительной однородности режима монетарной политики в России. Анализ строится при помощи статистических данных по российской экономике за период 2002–2017 гг. Для количественной оценки наблюдаемых эффектов привлекается метод эконометрического моделирования. Исследование базируется на аппарате структурных векторных авторегрессий, оцененных при помощи байесовских методов. Структурная идентификация модели осуществляется путем рекурсивного ранжирования переменных и разложения структурных шоков по Холецкому. Байесовская регуляризация основана на применении комбинации независимых нормального и обратного Уишарта распределений в качестве априорных. Качественная интерпретация результатов основана на анализе функций импульсного отклика.Результаты исследования подтверждают наличие статистически и экономически значимой взаимосвязи между динамикой обменного курса и цен в России на горизонте двух последних десятилетий. Эффект шоков валютного курса проявляется мгновенно. Было показано, что влияние валютного курса на потребительские цены сохраняется значимым на протяжении нескольких лет. Реакция цен производителей превосходит по масштабу эффект, наблюдаемый для потребительских цен. Выборка данных за 2014–2017 гг. указывает на снижение эффекта переноса валютного курса и свидетельствует об эффективности инфляционного таргетирования (ИТ). Переход к ИТ позволил снизить зависимость инфляционных процессов в России от конъюнктуры внешних рынков и глобальных рисков.

Suggested Citation

  • M. Tiunova G. & М. Тиунова Г., 2018. "Моделирование Эффекта Переноса Валютного Курса На Цены В России // Modeling The Transfer Effect Of Exchange Rate On Prices In Russia," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 22(3), pages 136-154.
  • Handle: RePEc:scn:financ:y:2018:i:3:p:136-154
    as

    Download full text from publisher

    File URL: https://financetp.fa.ru/jour/article/viewFile/664/497.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Comunale, Mariarosaria & Kunovac, Davor, 2017. "Exchange rate pass-through in the euro area," Working Paper Series 2003, European Central Bank.
    2. Kadyrov, Maxim, 2010. "Impact of exchange rate on prices in the presence of structural breaks," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 19(3), pages 9-22.
    3. Demeshev, Boris & Malakhovskaya, Oxana, 2016. "BVAR mapping," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 43, pages 118-141.
    4. Faryna, Oleksandr, 2016. "Exchange rate pass-through and cross-country spillovers: Some evidence from Ukraine and Russia," BOFIT Discussion Papers 14/2016, Bank of Finland, Institute for Economies in Transition.
    5. Martina Jašová & Richhild Moessner & Előd Takáts, 2016. "Exchange rate pass-through: What has changed since the crisis?," BIS Working Papers 583, Bank for International Settlements.
    6. repec:mes:prectr:v:58:y:2016:i:1:p:54-72 is not listed on IDEAS
    7. Iu. Ponomarev & P. Trunin & A. Ulyukaev, 2016. "Exchange Rate Pass-Through in Russia," Problems of Economic Transition, Taylor & Francis Journals, vol. 58(1), pages 54-72, January.
    8. Francesca G Caselli & Agustin Roitman, 2016. "Non-Linear Exchange Rate Pass-Through in Emerging Markets," IMF Working Papers 16/1, International Monetary Fund.
    9. Donayre, Luiggi & Panovska, Irina, 2016. "State-dependent exchange rate pass-through behavior," Journal of International Money and Finance, Elsevier, vol. 64(C), pages 170-195.
    10. Chris Bloor & Troy Matheson, 2010. "Analysing shock transmission in a data-rich environment: a large BVAR for New Zealand," Empirical Economics, Springer, vol. 39(2), pages 537-558, October.
    11. O. Malakhovskaya., 2016. "DSGE-based forecasting: What should our perspective be?," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 12.
    12. repec:eee:reveco:v:50:y:2017:i:c:p:196-244 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:scn:financ:y:2018:i:3:p:136-154. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Алексей Скалабан). General contact details of provider: http://financetp.fa.ru .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.