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International Transmission of Conventional and Unconventional Monetary Policy and Financial Stress Shocks from the Euro Area to Russia

Author

Listed:
  • Silvo Dajčman

    (University of Maribor, Faculty of Economics and Business, Maribor, Slovenia)

  • Alenka Kavkler

    (University of Maribor, Faculty of Economics and Business, Maribor, Slovenia)

  • Sergey Merzlyakov

    (HSE University, International Laboratory for Macroeconomic Analysis, Moscow, Russian Federation)

  • Sergey E. Pekarski

    (HSE University, International Laboratory for Macroeconomic Analysis, Moscow, Russian Federation)

  • Dejan Romih

    (University of Maribor, Faculty of Economics and Business, Maribor, Slovenia)

Abstract

This paper studies the international transmission of the euro area´s monetary policy and financial stress to Russia. The results show that financial stress in the euro area damages Russian economic activity and stock prices, but not its trade balance. The contractionary euro area monetary policy shock decreases Russian GDP, leads to real appreciation of the euro against the Russian rouble, damages Russian stock prices, but does not significantly affect the trade balance between countries. We also found that the Central Bank of the Russian Federation adjusts to monetary policy shocks in the euro area.

Suggested Citation

  • Silvo Dajčman & Alenka Kavkler & Sergey Merzlyakov & Sergey E. Pekarski & Dejan Romih, 2022. "International Transmission of Conventional and Unconventional Monetary Policy and Financial Stress Shocks from the Euro Area to Russia," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 11(1), pages 227-247.
    • Handle: RePEc:cbk:journl:v:11:y:2022:i:1:p:227-247
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    References listed on IDEAS

    as
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    5. Bank for International Settlements, 2013. "Market volatility and foreign exchange intervention in EMEs: what has changed?," BIS Papers, Bank for International Settlements, number 73.
    6. Kristina Bluwstein & Fabio Canova, 2016. "Beggar-Thy-Neighbor? The International Effects of ECB Unconventional Monetary Policy Measures," International Journal of Central Banking, International Journal of Central Banking, vol. 12(3), pages 69-120, September.
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    More about this item

    Keywords

    conventional monetary policy; unconventional monetary policy; financial stress; Russia; international transmission.;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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