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Spillover Effects of Russian Monetary Policy Shocks on the Eurasian Economic Union

Author

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  • Vladislav Abramov

    (Bank of Russia, Russian Federation)

Abstract

Russian monetary policy could translate on the countries of Eurasian Economic Union (EAEU) through different channels. However, there is still a lack of evidence of the significance of so called spillover effects of Russian monetary policy. This work investigates the influence of Russian monetary policy shocks, proxied by shocks of MIACR, on the EAEU countries. For that purpose, firstly, monetary policy shocks were identified via FAVAR model for the Russian economy, estimated on the monthly data of more than 50 indicators. Further, separately for each country of the union VAR models with previously extracted MP shocks were estimated and both impulse response functions (IRF) and forecast error variance decomposition (FEVD) were analysed. The main result of the work is that effects of shocks in MIACR on industrial production and inflation are not statistically significant. At the same time, such shocks have statistically significant effect on money supply, nominal exchange rates and money market rates in some union’s countries. However, obtained effects are mostly small and heterogeneous.

Suggested Citation

  • Vladislav Abramov, 2020. "Spillover Effects of Russian Monetary Policy Shocks on the Eurasian Economic Union," Bank of Russia Working Paper Series wps60, Bank of Russia.
    • Handle: RePEc:bkr:wpaper:wps60
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    References listed on IDEAS

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    More about this item

    Keywords

    Transmission effects; monetary policy; Eurasian economic union;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E59 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Other

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