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The Econometric Estimation of the Macroeconomic Effects of the Shock of Monetary Policy for the Russian Economy
[Эконометрическая Оценка Макроэкономических Эффектов Шока Денежно-Кредитной Политики Для Российской Экономики]


  • Vashchelyuk, N.V. (Ващелюк, Н.В.)

    () (Russian Presidential Academy of National Economy and Public Administration (RANEPA))

  • Polbin, Andrey (Полбин, Андрей)

    () (Russian Presidential Academy of National Economy and Public Administration (RANEPA), Gaidar Institute for Economic Policy)

  • Trunin, Pavel (Трунин, Павел)

    () (Russian Presidential Academy of National Economy and Public Administration (RANEPA), Gaidar Institute for Economic Policy)


The paper is devoted to identifying the shock of monetary policy and evaluating its impact on the main macroeconomic variables of the Russian economy with the help of the structural vector autoregression model. According to the results monetary policy shocks have a significant impact on the real sector of the Russian economy in the short term period and on the nominal variables (interest rates, price level, lending). Positive monetary policy shock leads to a temporary increase in output, the volume of lending, as well as to a reduction in nominal interest rates on loans. At the same time the contribution of monetary policy shocks to the variance of macroeconomic variables is small.

Suggested Citation

  • Vashchelyuk, N.V. (Ващелюк, Н.В.) & Polbin, Andrey (Полбин, Андрей) & Trunin, Pavel (Трунин, Павел), 2016. "The Econometric Estimation of the Macroeconomic Effects of the Shock of Monetary Policy for the Russian Economy
    [Эконометрическая Оценка Макроэкономических Эффектов Шока Денежно-Кредитной Политики
    ," Working Papers 2133, Russian Presidential Academy of National Economy and Public Administration.
  • Handle: RePEc:rnp:wpaper:2133

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    monetary policy; macroeconomic variables; Russian economy;

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