MODELING THE TRANSFER EFFECT OF EXCHANGE RATE ON PRICES IN RUSSIA
The article examines the relationship between the dynamics of the exchange rate and prices in Russia in a volatile environment of foreign markets and the change of the monetary and credit policy of the Bank of Russia.The purpose of this work is to assess the transfer effect of the nominal exchange r...
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| Format: | Article |
| Language: | Russian |
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Government of the Russian Federation, Financial University
2018-06-01
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| Series: | Финансы: теория и практика |
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| Online Access: | https://financetp.fa.ru/jour/article/view/664 |
| _version_ | 1797878731958648832 |
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| author | M. G. Tiunova |
| author_facet | M. G. Tiunova |
| author_sort | M. G. Tiunova |
| collection | DOAJ |
| description | The article examines the relationship between the dynamics of the exchange rate and prices in Russia in a volatile environment of foreign markets and the change of the monetary and credit policy of the Bank of Russia.The purpose of this work is to assess the transfer effect of the nominal exchange rate of the ruble on the prices for consumers and producers in 2002–2017 in general and in the periods of relative homogeneity of the monetary policy regime in Russia. The analysis was based on statistical data on the Russian economy for the period 2002–2017. The method of econometric modelling is used to quantify the observed effects. The study is based on the apparatus of structural vector autoregressions, evaluated using Bayesian methods. The structural identifcation of the model is carried out by the recursive ranking of variables and decomposition of structural shocks elaborated by André-Louis Cholesky. Bayesian regularization is based on the application of a combination of independent normal and inverse Wishart’s a priori distributions. Qualitative interpretation of the results is based on the analysis of the impulse response functions. The results of the study confrm the existence of a statistically and economically signifcant relationship between the dynamics of the exchange rate and prices in Russia during the last two decades. The effect of exchange rate shocks is immediate. We showed that the impact of the exchange rate on consumer prices has remained signifcant for several years. The reaction of producer prices is greater than the effect observed for consumer prices. A sample of data for 2014–2017 indicates adecrease in the effect transfer of exchange rate and proved the effectiveness of inflation targeting. The transition to the policy of inflation targeting has reduced the dependence of inflation processes in Russia on the external market conditions and global risks. |
| first_indexed | 2024-04-10T02:37:48Z |
| format | Article |
| id | doaj.art-51955393b620400ea4ca4c77aa9c7019 |
| institution | Directory Open Access Journal |
| issn | 2587-5671 2587-7089 |
| language | Russian |
| last_indexed | 2024-04-10T02:37:48Z |
| publishDate | 2018-06-01 |
| publisher | Government of the Russian Federation, Financial University |
| record_format | Article |
| series | Финансы: теория и практика |
| spelling | doaj.art-51955393b620400ea4ca4c77aa9c70192023-03-13T07:49:28ZrusGovernment of the Russian Federation, Financial UniversityФинансы: теория и практика2587-56712587-70892018-06-0122313615410.26794/2587-5671-2018-22-3-136-154659MODELING THE TRANSFER EFFECT OF EXCHANGE RATE ON PRICES IN RUSSIAM. G. Tiunova0Московский государственный университет им. М.В. ЛомоносоваThe article examines the relationship between the dynamics of the exchange rate and prices in Russia in a volatile environment of foreign markets and the change of the monetary and credit policy of the Bank of Russia.The purpose of this work is to assess the transfer effect of the nominal exchange rate of the ruble on the prices for consumers and producers in 2002–2017 in general and in the periods of relative homogeneity of the monetary policy regime in Russia. The analysis was based on statistical data on the Russian economy for the period 2002–2017. The method of econometric modelling is used to quantify the observed effects. The study is based on the apparatus of structural vector autoregressions, evaluated using Bayesian methods. The structural identifcation of the model is carried out by the recursive ranking of variables and decomposition of structural shocks elaborated by André-Louis Cholesky. Bayesian regularization is based on the application of a combination of independent normal and inverse Wishart’s a priori distributions. Qualitative interpretation of the results is based on the analysis of the impulse response functions. The results of the study confrm the existence of a statistically and economically signifcant relationship between the dynamics of the exchange rate and prices in Russia during the last two decades. The effect of exchange rate shocks is immediate. We showed that the impact of the exchange rate on consumer prices has remained signifcant for several years. The reaction of producer prices is greater than the effect observed for consumer prices. A sample of data for 2014–2017 indicates adecrease in the effect transfer of exchange rate and proved the effectiveness of inflation targeting. The transition to the policy of inflation targeting has reduced the dependence of inflation processes in Russia on the external market conditions and global risks.https://financetp.fa.ru/jour/article/view/664эффект переноса валютного курсаденежно-кредитная политикаинфляционное таргетированиепотребительская инфляциявекторные авторегрессиибайесовская регуляризация |
| spellingShingle | M. G. Tiunova MODELING THE TRANSFER EFFECT OF EXCHANGE RATE ON PRICES IN RUSSIA Финансы: теория и практика эффект переноса валютного курса денежно-кредитная политика инфляционное таргетирование потребительская инфляция векторные авторегрессии байесовская регуляризация |
| title | MODELING THE TRANSFER EFFECT OF EXCHANGE RATE ON PRICES IN RUSSIA |
| title_full | MODELING THE TRANSFER EFFECT OF EXCHANGE RATE ON PRICES IN RUSSIA |
| title_fullStr | MODELING THE TRANSFER EFFECT OF EXCHANGE RATE ON PRICES IN RUSSIA |
| title_full_unstemmed | MODELING THE TRANSFER EFFECT OF EXCHANGE RATE ON PRICES IN RUSSIA |
| title_short | MODELING THE TRANSFER EFFECT OF EXCHANGE RATE ON PRICES IN RUSSIA |
| title_sort | modeling the transfer effect of exchange rate on prices in russia |
| topic | эффект переноса валютного курса денежно-кредитная политика инфляционное таргетирование потребительская инфляция векторные авторегрессии байесовская регуляризация |
| url | https://financetp.fa.ru/jour/article/view/664 |
| work_keys_str_mv | AT mgtiunova modelingthetransfereffectofexchangerateonpricesinrussia |