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Asset prices, credit and the Russian economy

Author

Listed:
  • Haroon Mumtaz
  • Alexandra Solovyeva
  • Elena Vasilieva

Abstract

We examine the importance of macroeconomic effects of changes in asset prices and credit aggregates for the Russian economy. We show that the amplitude of the fluctuations of asset prices and lending was exceptionally large in 2006-2009. This implies that the asset price and the lending channel may be significant for Russia. We estimate a Bayesian VAR model with steady state priors and sign restrictions on impulse response functions. Our results suggest that an asset price bust and a credit squeeze have accentuated the impact of financial crisis on the real economy.Â

Suggested Citation

  • Haroon Mumtaz & Alexandra Solovyeva & Elena Vasilieva, 2012. "Asset prices, credit and the Russian economy," Joint Research Papers 1, Centre for Central Banking Studies, Bank of England.
  • Handle: RePEc:ccb:jrpapr:1
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    File URL: http://www.bankofengland.co.uk/education/Documents/ccbs/Joint%20Research%20Papers/PDF/Joint%20Research%20Paper%201.pdf
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    References listed on IDEAS

    as
    1. Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
    2. Roland Beck & Annette Kamps & Elitza Mileva, 2007. "Long-term growth prospects for the Russian economy," Occasional Paper Series 58, European Central Bank.
    3. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2010. "Forecasting Government Bond Yields with Large Bayesian VARs," Working Papers 662, Queen Mary University of London, School of Economics and Finance.
    4. Dieter Gerdesmeier & Hans‐Eggert Reimers & Barbara Roffia, 2010. "Asset Price Misalignments and the Role of Money and Credit," International Finance, Wiley Blackwell, vol. 13(3), pages 377-407, Winter.
    5. Olivier Blanchard & Changyong Rhee & Lawrence Summers, 1993. "The Stock Market, Profit, and Investment," The Quarterly Journal of Economics, Oxford University Press, vol. 108(1), pages 115-136.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Ponomarenko, Alexey, 2013. "Early warning indicators of asset price boom/bust cycles in emerging markets," Emerging Markets Review, Elsevier, vol. 15(C), pages 92-106.
    2. repec:spr:empeco:v:53:y:2017:i:2:d:10.1007_s00181-016-1125-1 is not listed on IDEAS
    3. Lomivorotov, Rodion, 2015. "Bayesian estimation of monetary policy in Russia," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 38(2), pages 41-63.

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