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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
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    References listed on IDEAS

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