IDEAS home Printed from https://ideas.repec.org/a/scn/financ/y2018i4p146-170.html
   My bibliography  Save this article

Влияние Внешних Шоков На Российскую Экономику // The Impact Of External Shocks On The Russian Economy

Author

Listed:
  • M. Tiunova G.

    (Lomonosov Moscow State University)

  • М. Тиунова Г.

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

Abstract

The article is devoted to the study of the degree of sensitivity of the Russian economy to exogenous shocks from the external environment. Indicators of the dynamics of foreign markets are changes in the global market of raw materials, financial markets of developed countries, and the propensity of foreign investors to risk. The topic of our study is relevant against the background of the current key risks for the world economy and financial system: uncertainty of the global energy market prospects due to the growth of oil production in the united States; normalization of monetary policy by developed countries, which in the future can provoke capital outflow from emerging markets; the threat of global protectionism. The article describes the potential consequences of these events for the world economy and financial system. The study uses statistical data on the real and financial sectors of the Russian economy, as well as foreign markets for the period 2002–2018. The parameters of external market conditions are world trade conditions, the volatility of the global stock and currency markets, the level of business activity in the Eurozone region, and the degree of risk and uncertainty in emerging markets. The research methodology is based on Bayesian structural vector autoregressions. The graphs of the impulse response function allow us to determine the direction of the key parameters of the Russian economy (industry, inflation, exchange rate, and sovereign risk premium) in response to changes in external environment. The contribution of external shocks to the dynamics of macroeconomic indicators is determined on the basis of the decomposition of the error variance of the model endogenous variables forecast. Our analysis confirmed the significant dependence between the dynamics of the key indicators of the Russian economy and the external markets. The author concludes that the inflation targeting regime and the policy of budget rules have a positive impact on the protection of the Russian economy from global risks. Статья посвящена исследованию степени чувствительности российской экономики к экзогенным шокам со стороны внешнего сектора. Индикаторами динамики внешних рынков являются изменения на глобальном рынке сырья, финансовых рынках развитых стран и склонность иностранных инвесторов к риску. Тема данного исследования актуальна на фоне формирования в настоящее время ключевых рисков для мировой экономики и финансовой системы: неопределенность перспектив глобального рынка энергоресурсов в силу роста добычи нефти в США; нормализация денежно-кредитной политики развитыми странами, что в перспективе может спровоцировать отток капитала с развивающихся рынков; угроза глобального протекционизма. В работе описаны потенциальные последствия этих событий для мировой экономики и финансовой системы. Для проведения исследования используются статистические данные по реальному и финансовому секторам экономики России, а также внешним рынкам за период 2002–2018 гг. Параметрами конъюнктуры внешних рынков являются условия мировой торговли, волатильность глобальных фондовых и валютных рынков, уровень деловой активности в регионе еврозоны и степень риска и неопределенности на рынках развивающихся стран. Методология исследования базируется на аппарате байесовских структурных векторных авторегрессий. Графики функций импульсного отклика позволяют установить направление движения ключевых параметров российской экономики (промышленности, инфляции, валютного курса и суверенной премии за риск) в ответ на изменение внешних условий. Вклад внешних шоков в динамику макроэкономических показателей определяется на основе декомпозиции вариации ошибки прогноза эндогенных переменных модели. Проведенный анализ подтвердил существенную зависимость динамики ключевых показателей российской экономики от конъюнктуры внешних рынков. Автор делает вывод о положительном влиянии режима таргетирования инфляции и политики бюджетных правил для защиты российской экономики от глобальных рисков.

Suggested Citation

  • M. Tiunova G. & М. Тиунова Г., 2018. "Влияние Внешних Шоков На Российскую Экономику // The Impact Of External Shocks On The Russian Economy," 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(4), pages 146-170.
  • Handle: RePEc:scn:financ:y:2018:i:4:p:146-170
    as

    Download full text from publisher

    File URL: https://financetp.fa.ru/jour/article/viewFile/740/509.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Javier Gómez‐Pineda & Dominique M. Guillaume & Kadir Tanyeri, 2015. "Systemic Risk, Aggregate Demand, and Commodity Prices," IMF Working Papers 15/165, International Monetary Fund.
    2. Arezki, Rabah & Dumitrescu, Elena & Freytag, Andreas & Quintyn, Marc, 2014. "Commodity prices and exchange rate volatility: Lessons from South Africa's capital account liberalization," Emerging Markets Review, Elsevier, vol. 19(C), pages 96-105.
    3. Madhusudan Mohanty & Kumar Rishabh, 2016. "Financial intermediation and monetary policy transmission in EMEs: What has changed post-2008 crisis?," BIS Working Papers 546, Bank for International Settlements.
    4. Lomivorotov, Rodion, 2015. "Bayesian estimation of monetary policy in Russia," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 38(2), pages 41-63.
    5. Alberola, Enrique & Benigno, Gianluca, 2017. "Revisiting the commodity curse: A financial perspective," Journal of International Economics, Elsevier, vol. 108(S1), pages 87-106.
    6. Bergholt, Drago & Larsen, Vegard H. & Seneca, Martin, 2019. "Business cycles in an oil economy," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 283-303.
    7. Andrew Filardo & Jacopo Lombardi & Carlos Montoro, 2018. "Monetary policy spillovers, global commodity prices and cooperation," BIS Working Papers 696, Bank for International Settlements.
    8. Raphael A. Auer & Claudio Borio & Andrew Filardo, 2017. "The Globalisation of Inflation: The Growing Importance of Global Value Chains," CESifo Working Paper Series 6387, CESifo.
    9. Serhat Solmaz & Marzie Taheri Sanjani, 2015. "How External Factors Affect Domestic Economy; Nowcasting an Emerging Market," IMF Working Papers 15/269, International Monetary Fund.
    10. Lorenzo Menna & Martin Tobal, 2018. "Financial and price stability in emerging markets: the role of the interest rate," BIS Working Papers 717, Bank for International Settlements.
    11. Демешев Борис Борисович & Малаховская Оксана Анатольевна, 2016. "Макроэкономическое Прогнозирование С Помощью Bvar Литтермана," Higher School of Economics Economic Journal Экономический журнал Высшей школы экономики, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», vol. 20(4), pages 691-710.
    12. Demeshev, Boris & Malakhovskaya, Oxana, 2016. "BVAR mapping," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 43, pages 118-141.
    13. Javier Garcia-Cicco & Markus Kirchner & Julio Carrillo & Diego Rodríguez & Fernando Perez & Rocío Gondo & Carlos Montoro & Roberto Chang, 2017. "Financial and real shocks and the effectiveness of monetary and macroprudential policies in Latin American countries," BIS Working Papers 668, Bank for International Settlements.
    14. Francisco Roch, 2017. "The Adjustment to Commodity Price Shocks in Chile, Colombia, and Peru," IMF Working Papers 17/208, International Monetary Fund.
    15. Bannikov, V., 2006. "Vector Autoregression and Error Correction Models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 3(3), pages 96-129.
    16. Javier G. Gómez-Pineda & Dominique Guillaume & Kadir Tanyeri, 2015. "Systemic Risk, Aggregate Demand, and Commodity Prices," Borradores de Economia 897, Banco de la Republica de Colombia.
    17. Tidiane Kinda & Montfort Mlachila & Rasmané Ouedraogo, 2016. "Commodity Price Shocks and Financial Sector Fragility," IMF Working Papers 16/12, International Monetary Fund.
    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:4:p:146-170. 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.