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Assessing the predictability of market interest rate changes on Central Bank of Russia press release days

Author

Listed:
  • Bannikova, Viktoriia

    (Lomonosov Moscow State University, RANEPA, Moscow, Russian Federation)

  • Kolesnik, Sofya

    (Lomonosov Moscow State University, Gaidar Institute for Economic Policy, Moscow, Russian Federation;)

Abstract

This study proposes a new approach to identifying monetary shocks for the Russian economy. Unlike existing research that applies high-frequency data, the presented method is based on a more precise definition of monetary policy shocks. The new identification explicitly considers the unpredictability of monetary shocks based on past information, specifically published macroeconomic forecasts. An instrumental approach is used because the regulator's forecasts typically incorporate the current key rate decision and are highly correlated with analysts’ forecasts known at the time of the Central Bank of Russia’s press release. Econometric estimates of impulse responses of macroeconomic variables show that traditional key rate regulation, along with the publication of medium-term economic forecasts by the Central Bank, has a statistically significant restraining effect on inflation and economic activity.

Suggested Citation

  • Bannikova, Viktoriia & Kolesnik, Sofya, 2025. "Assessing the predictability of market interest rate changes on Central Bank of Russia press release days," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 77, pages 25-45.
    • Handle: RePEc:ris:apltrx:0514
    as

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    More about this item

    Keywords

    monetary shock; monetary policy surprises; high-frequency identification; predictability; Central Bank forecasts;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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