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Investigating the Impact of Monetary Policy using the Vector Autoregression Method

Author

Listed:
  • Salmanov, Oleg
  • Zaernjuk, Victor
  • Lopatina, Olga
  • Drachena, Irina
  • Vikulina, Evgeniya

Abstract

Careful identification of the transmission channels of monetary policy is an important step in the global assessment of the major institutional changes. Research in this area should be constantly updated because of the strong structural dynamics. The goal of this paper is to study the monetary transmission in the Russian economy. The study was carried out using the vector autoregression (VAR) method. The analysis of impulse functions of interest rate shocks, corporate lending, volume of money supply, growth of prices and the exchange rate was carried out. An interpretation of the transmission channels of the Russian economy was given. The following channels were considered: Interest rate, bank lending, cash flows, unforeseen prices and the exchange rate channel. All channels under consideration are statistically confirmed, but they exist with varying degrees of effectiveness. The existence of weak channels of monetary transmission is associated with the depressive state of the economy, lack of its growth in recent years, and high inflation, as well as with the policy of shift from the ruble rate targeting to the inflation targeting policy. The outcomes of use of the standard VAR methods for the developing Russian economy can be used as a guideline for further theoretical and empirical analysis of the transmission mechanism.

Suggested Citation

  • Salmanov, Oleg & Zaernjuk, Victor & Lopatina, Olga & Drachena, Irina & Vikulina, Evgeniya, 2016. "Investigating the Impact of Monetary Policy using the Vector Autoregression Method," MPRA Paper 112280, University Library of Munich, Germany, revised 01 Jun 2016.
    • Handle: RePEc:pra:mprapa:112280
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    References listed on IDEAS

    as
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    Cited by:

    1. Andre Amaral & Taysir E. Dyhoum & Hussein A. Abdou & Hassan M. Aljohani, 2022. "Modeling for the Relationship between Monetary Policy and GDP in the USA Using Statistical Methods," Mathematics, MDPI, vol. 10(21), pages 1-20, November.
    2. Salmsnov, Oleg & Babina, Natalia & Koba, Ekaterina & Koba, Ekaterina & Lopatina, Olga, 2017. "Efficiency of Monetary Policy Mechanisms Before and After the 2008 Financial Crisis in the Russian Economy," MPRA Paper 112276, University Library of Munich, Germany, revised 01 Jul 2017.
    3. Oleg Nikolayevich Salmanov* & Natalia Vladimirovna Babina & Vadim Yaroslavovich Ovsiychuk & Irina Petrovna Drachena & Evgeniya Viktorovna Vikulina, 2018. "Analysis of the Monetary Policy Rule in the Russian Economy," The Journal of Social Sciences Research, Academic Research Publishing Group, pages 304-312:3.
    4. Oleg N. Salmanov & Natalia V. Babina & Marina V. Samoshkina & Irina P. Drachena & Irina P. Salmanova, 2020. "The Effects Of Volatility And Changes In Conditional Correlations In The Stock Markets Of Russia And Developed Countries," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 65(227), pages 67-94, October –.

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    More about this item

    Keywords

    Monetary Policy; Vector Autoregression; Impulse Functions;
    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

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