IDEAS home Printed from https://ideas.repec.org/p/zbw/bofitp/bdp2016_002.html
   My bibliography  Save this paper

A monetary policy rule for Russia, or is it rules?

Author

Listed:
  • Korhonen, Iikka
  • Nuutilainen, Riikka

Abstract

We estimate several monetary policy rules for Russia for the period 2003–2015. We find that the traditional Taylor rule describes the conduct of monetary policy in Russia reasonably well, whether coefficients are restricted to being the same or allowed to change over the sample period. We find that the Bank of Russia often overshot its inflation target and that extensive overshooting is associated with large depreciations of the ruble, testifying to the importance of the exchange rate in the conduct of monetary policy in Russia.

Suggested Citation

  • Korhonen, Iikka & Nuutilainen, Riikka, 2016. "A monetary policy rule for Russia, or is it rules?," BOFIT Discussion Papers 2/2016, Bank of Finland Institute for Emerging Economies (BOFIT).
    • Handle: RePEc:zbw:bofitp:bdp2016_002
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/212845/1/bofit-dp2016-002.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Iikka Korhonen & Aaron Mehrotra, 2010. "Money Demand in Post-Crisis Russia: Dedollarization and Remonetization," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 46(2), pages 5-19, March.
    2. Mccallum, Bennet T., 1988. "Robustness properties of a rule for monetary policy," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 29(1), pages 173-203, January.
    3. Orphanides, Athanasios & Williams, John C., 2007. "Robust monetary policy with imperfect knowledge," Journal of Monetary Economics, Elsevier, vol. 54(5), pages 1406-1435, July.
    4. Mehrotra, Aaron & Sánchez-Fung, José R., 2011. "Assessing McCallum and Taylor rules in a cross-section of emerging market economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(2), pages 207-228, April.
    5. Bennett T. McCallum, 2000. "Alternative monetary policy rules : a comparison with historical settings for the United States, the United Kingdom, and Japan," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 49-79.
    6. repec:ucp:bknber:9780226791258 is not listed on IDEAS
    7. Clarida, Richard & Gali, Jordi & Gertler, Mark, 1998. "Monetary policy rules in practice Some international evidence," European Economic Review, Elsevier, vol. 42(6), pages 1033-1067, June.
    8. Vdovichenko, Anna G. & Voronina, Victoria G., 2006. "Monetary policy rules and their application in Russia," Research in International Business and Finance, Elsevier, vol. 20(2), pages 145-162, June.
    9. 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.
    10. Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 195-214, December.
    11. John B. Taylor, 2001. "The Role of the Exchange Rate in Monetary-Policy Rules," American Economic Review, American Economic Association, vol. 91(2), pages 263-267, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Korhonen, Iikka & Nuutilainen, Riikka, 2017. "Breaking monetary policy rules in Russia," Russian Journal of Economics, Elsevier, vol. 3(4), pages 366-378.
    2. Corhay, Alexandre & Kind, Thilo & Kung, Howard & Morales, Gonzalo, 2021. "Discount rates, debt maturity, and the fiscal theory," SAFE Working Paper Series 323, Leibniz Institute for Financial Research SAFE.
    3. Klomp, Jeroen, 2020. "The impact of Russian sanctions on the return of agricultural commodity futures in the EU," Research in International Business and Finance, Elsevier, vol. 51(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Iikka Korhonen & Riikka Nuutilainen, 2016. "A monetary policy rule for Russia, or is it rules?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 28-45.
    2. Korhonen, Iikka & Nuutilainen, Riikka, 2017. "Breaking monetary policy rules in Russia," Russian Journal of Economics, Elsevier, vol. 3(4), pages 366-378.
    3. repec:zbw:bofitp:2016_002 is not listed on IDEAS
    4. Fan, Longzhen & Yu, Yihong & Zhang, Chu, 2011. "An empirical evaluation of China's monetary policies," Journal of Macroeconomics, Elsevier, vol. 33(2), pages 358-371, June.
    5. repec:zbw:bofitp:2009_023 is not listed on IDEAS
    6. Riikka Nuutilainen, 2015. "Contemporary Monetary Policy in China: An Empirical Assessment," Pacific Economic Review, Wiley Blackwell, vol. 20(3), pages 461-486, August.
    7. Mehrotra, Aaron & Sánchez-Fung, José R., 2011. "Assessing McCallum and Taylor rules in a cross-section of emerging market economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(2), pages 207-228, April.
    8. Giray Gozgor, 2012. "Inflation Targeting and Monetary Policy Rules: Further Evidence from the Case of Turkey," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 2(5), pages 1-7.
    9. repec:zbw:bofitp:2015_010 is not listed on IDEAS
    10. repec:zbw:bofitp:urn:nbn:fi:bof-201503181119 is not listed on IDEAS
    11. Mehrotra, Aaron & Sánchez-Fung, José R., 2011. "Assessing McCallum and Taylor rules in a cross-section of emerging market economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(2), pages 207-228, April.
    12. repec:bof:bofitp:urn:nbn:fi:bof-201503181119 is not listed on IDEAS
    13. Nuutilainen, Riikka, 2015. "Contemporary monetary policy in China: A move towards price-based policy?," BOFIT Discussion Papers 10/2015, Bank of Finland, Institute for Economies in Transition.
    14. 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.
    15. Batini, Nicoletta & Harrison, Richard & Millard, Stephen P., 2003. "Monetary policy rules for an open economy," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11-12), pages 2059-2094, September.
    16. Wollmershauser, Timo, 2006. "Should central banks react to exchange rate movements? An analysis of the robustness of simple policy rules under exchange rate uncertainty," Journal of Macroeconomics, Elsevier, vol. 28(3), pages 493-519, September.
    17. Nejla Adanur Aklan & Mehmet Nargelecekenler, 2008. "Taylor Rule in Practice: Evidence from Turkey," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 14(2), pages 156-166, May.
    18. Ali Malik, 2010. "The importance of output for the monetary policy rules," Applied Economics Letters, Taylor & Francis Journals, vol. 17(9), pages 917-923.
    19. Teo, Wing Leong, 2009. "Can exchange rate rules be better than interest rate rules?," Japan and the World Economy, Elsevier, vol. 21(3), pages 301-311, August.
    20. Man-Keung Tang & Mr. Xiangrong Yu, 2011. "Communication of Central Bank Thinking and Inflation Dynamics," IMF Working Papers 2011/209, International Monetary Fund.
    21. Gustavo Bussinger, 2004. "El canal de crédito como mecanismo de transmisión de la política monetaria en Brasil," Monetaria, CEMLA, vol. 0(3), pages 243-262, julio-sep.
    22. Jose Sanchez-fung, 2005. "Estimating a monetary policy reaction function for the dominican republic," International Economic Journal, Taylor & Francis Journals, vol. 19(4), pages 563-577.
    23. Richard Dennis, 2005. "Inflation targeting under commitment and discretion," Economic Review, Federal Reserve Bank of San Francisco, pages 1-13.
    24. Altavilla, Carlo & Ciccarelli, Matteo, 2009. "The effects of monetary policy on unemployment dynamics under model uncertainty: evidence from the US and the euro area," Working Paper Series 1089, European Central Bank.
    25. Victoriia Alekhina & Naoyuki Yoshino, 2019. "Exogeneity of world oil prices to the Russian Federation’s economy and monetary policy," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 9(4), pages 531-555, December.

    More about this item

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • P33 - Political Economy and Comparative Economic Systems - - Socialist Institutions and Their Transitions - - - International Trade, Finance, Investment, Relations, and Aid

    Statistics

    Access and download statistics

    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:zbw:bofitp:bdp2016_002. See general information about how to correct material in RePEc.

    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 bibliographic 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/bofitfi.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.