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Monetary policy rules and their application in Russia

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  • Vdovichenko Anna
  • Voronina Victoria

Abstract

This paper examines the Bank of Russia behaviour in post crisis period. Special attention is devoted to econometric modelling of monetary policy rules of various types. Standard model is modified in a number of ways and estimated with the use of alternative econometric techniques (GMM, OLS and TSLS methodology). One of the modifications is set in the form of a system of two simultaneous equations, describing dynamics of intervention on foreign currency market and sterilisation of excess liquidity by the Bank of Russia. Empirical results support preliminary assumptions made on the basis of qualitative analysis of terms and principles of monetary and exchange rate policy in 1999-2003. Thus, interest rate policy of the Central Bank has had rather adaptive format, while management of base money dynamics possessed pronounced stabilising pattern. Another major finding lie in the fact that despite officially declared priority of anti-inflation policy major efforts of the Bank of Russia were turned to the regulation of the exchange rate. There are some reasons to suggest that the Central Bank intervened in the exchange market with the aim to affect not only the smoothness of the exchange rate but also its level.

Suggested Citation

  • Vdovichenko Anna & Voronina Victoria, 2004. "Monetary policy rules and their application in Russia," EERC Working Paper Series 04-09e, EERC Research Network, Russia and CIS.
    • Handle: RePEc:eer:wpalle:04-09e
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    References listed on IDEAS

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    1. Nicolas A. Cuche, 2000. "Monetary policy with forward-looking rules: The Swiss case," Working Papers 00.10, Swiss National Bank, Study Center Gerzensee.
    2. Clarida, Richard H, 2001. "The Empirics of Monetary Policy Rules in Open Economies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(4), pages 315-323, October.
    3. Janine Aron, 2000. "Monetary Transmission and Policy Rules in South Africa," Econometric Society World Congress 2000 Contributed Papers 1627, Econometric Society.
    4. Athanasios Orphanides, 2001. "Monetary Policy Rules Based on Real-Time Data," American Economic Review, American Economic Association, vol. 91(4), pages 964-985, September.
    5. John B. Taylor, 1999. "A Historical Analysis of Monetary Policy Rules," NBER Chapters, in: Monetary Policy Rules, pages 319-348, National Bureau of Economic Research, Inc.
    6. Bennett T. McCallum, 1993. "Specification and Analysis of a Monetary Policy Rule for Japan," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 11(2), pages 1-45, December.
    7. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    8. John B. Taylor, 1999. "Monetary Policy Rules," NBER Books, National Bureau of Economic Research, Inc, number tayl99-1, May.
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    Cited by:

    1. Victoria V. Dobrynskaya, 2008. "The Monetary and Exchange Rate Policy of the Central Bank of Russia under Asymmetrical Price Rigidity," Journal of Innovation Economics, De Boeck Université, vol. 0(1), pages 29-62.
    2. Esanov, Akram & Merkl, Christian & Vinhas de Souza, Lucio, 2005. "Monetary policy rules for Russia," Journal of Comparative Economics, Elsevier, vol. 33(3), pages 484-499, September.
    3. Vladimir Popov, 2011. "Exchange Rate in a Resource-Based Economy in the Short-Term: The Case of Russia," The IUP Journal of Monetary Economics, IUP Publications, vol. 0(3), pages 20-49, August.
    4. Victoria Dobrynskaya & Edouard Turkish, 2009. "Is Russia Sick with the Dutch Disease?," Working Papers 2009-20, CEPII research center.
    5. Kirill Sosunov & Oleg Zamulin, 2007. "Monetary Policy in an Economy Sick with Dutch Disease," Working Papers w0101, New Economic School (NES).

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    More about this item

    Keywords

    Russia; monetary and exchange rate policy; monetary policy rule; intervention; sterilisation;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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