Assessment of the change in the trajectory of adaptation of the real ruble exchange rate to the equilibrium due to a change in the monetary policy regime[Оценка Изменения Траектории Приспособления Реального Обменного Курса Рубля К Равновесному За Счет Смены Режима Денежно-Кредитной Политики]

In this paper, a Bayesian error correction model is proposed based on which the change in the trajectory of adaptation of the real ruble exchange rate to equilibrium in response to oil shock after changing the monetary policy regime is estimated. At the end of 2014, the Bank of Russia switched to the inflation targeting regime released the ruble into free float. Against the backdrop of rapidly falling oil prices, the nominal exchange rate devalued by about 2 times. In 2017, the Ministry of Finance introduced a budget rule, according to which, with oil prices above $ 40 dollars in 2017 prices, the currency is purchased for the excess profits, thereby affecting the nominal ruble exchange rate. Given that since 2017, oil prices have not fallen below the threshold level, the budget rule permanently affected the ruble exchange rate. Thus, the current monetary policy regime is not a free exchange rate regime, but a quasi-free or quasi-fixed rate regime. In this paper, the task is to assess how the current regime of the monetary policy affected the reaction of the real ruble exchange rate to the shock of oil prices over the past 5 years.