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Industry effects of monetary policy in Russia: Econometric analysis

Author

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  • Dobronravova, E.

    (Russian Presidential Academy of National Economy and Public Administration (RANEPA), Moscow, Russia
    Institute of Applied Economic Research; Lomonosov Moscow State University, Moscow, Russia)

Abstract

This paper presents the econometric analysis of the heterogenous effects of monetary policy on industrial output and producer prices in manufacturing sector in Russia. The estimation of the differences in the impulce responses to the interest rate shock is conducted using structural VAR-models, the analysis of key industrial characteristics, explaining differences through monetary transmission channes, is based on principal components and correlations. Our fi ndings reveal the strongest response to monetary policy in such industries as manufacture of rubber and plastic products, manufacture of non-metallic mineral products, manufacture of pulp and paper, manufacture of machinery nd equipment, manufacture of electrical, electronic and optical equipment and manufacture of motor vehicles and equipment. Besides, in these industries the response is usually deffered to 2-3 months after the shock. Our fi ndings also show that the impact of monetary shocks on output is particulary strong in industries producing capital goods and supplies for construction but particularly weak in industries with high concentration and high profi ts. That means that differences in industrial responses to monetary policy can be described by two key channels of monetary transmission - interest rate channel (due to high demand sensitivity to interest rate changes) and bank lending channel (due to important role of bank loans in fi rms' fi nancing).

Suggested Citation

  • Dobronravova, E., 2022. "Industry effects of monetary policy in Russia: Econometric analysis," Journal of the New Economic Association, New Economic Association, vol. 55(3), pages 45-60.
    • Handle: RePEc:nea:journl:y:2022:i:55:p:45-60
    DOI: 10.31737/2221-2264-2022-55-3-3
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    References listed on IDEAS

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    More about this item

    Keywords

    monetary policy; monetary transmission; industry effects; manufacturing industries;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • L60 - Industrial Organization - - Industry Studies: Manufacturing - - - General

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