Investigating the Impact of Monetary Policy using the Vector Autoregression Method

Oleg Nikolayevich Salmanov    
Victor Makarovich Zaernjuk    
Olga Alekseevna Lopatina    
Irina Petrovna Drachena    
Evgeniya Viktorovna Vikulina    


Careful identification of the transmission channels of monetary policy is an important step in the global assessment of the major institutional changes. Research in this area should be constantly updated because of the strong structural dynamics. The goal of this paper is to study the monetary transmission in the Russian economy. The study was carried out using the vector autoregression method (VAR). The analysis of impulse functions of interest rate shocks, corporate lending, volume of money supply, growth of prices and the exchange rate was carried out. An interpretation of the transmission channels of the Russian economy was given. The following channels were considered: interest rate, bank lending, cash flows, unforeseen prices and the exchange rate channel. All channels under consideration are statistically confirmed, but they exist with varying degrees of effectiveness. The existence of weak channels of monetary transmission is associated with the depressive state of the economy, lack of its growth in recent years, and high inflation, as well as with the policy of shift from the ruble rate targeting to the inflation targeting policy. The outcomes of use of the standard VAR methods for the developing Russian economy can be used as a guideline for further theoretical and empirical analysis of the transmission mechanismKeywords: monetary policy, vector autoregression, impulse functions.JEL Classifications: E52, E58

 Artículos similares

Kingsley Chiedu Chiemeke, Hapriza BT Ashari, Syaharizatul Noorizwan BT Muktar     Pág. 141 - 152

Mr. Buyung    
This research is aimed at investigating the impact of price and non-price on the demand for palm oil, supply and stock of palm oil in a foreign market. The data employed in this research were time series data. The analysis used the model of demand, suppl... ver más

Florinela MOCANU     Pág. 449 - 469
The present study has the purpose to analyze the digital behavior and the digital literacy among young adults in Romania. The first part of the paper investigates the literature studies regarding the essay?s subject, exposing concepts as reference group,... ver más

Arafat Mansoor Al-raeai,Zairy Zainol,Ahmad Khilmy bin Abdul Rahim     Pág. 333 - 339
Macroeconomic factors are regional or national economic factors which externally impact the financial strategies of governments and corporations, including debt financing decisions. The literature related to the financial management acknowledges the sign... ver más

Mehdi Mohebi     Pág. 160 - 173
   In this study, the impact of productivity on NAIRU is analysed using 19 OECD countries? yearly data, for the period of 1997 to 2012. The main purpose of this paper is to scrutinize the reaction of NAIRU in the face of a shock in labour produ... ver más