Analysis of the impact of monetary shocks on the term structure of interest rates in the russian economy[Анализ Влияния Монетарных Шоков На Временную Структуру Процентных Ставок В Российской Экономике]

In this paper we study the mechanisms and the degree of influence of the Bank of Russia's monetary policy shocks on the yields of Russian federal bonds with different maturities (OFZ). The relevance of the study is due to the importance of the Russian government bond market as one of the segments of financial markets that ensure the performance of the transmission mechanism of monetary policy. The purpose of the study is to assess the degree of reaction of yields of Russian government bonds with different maturities and term premium to the shocks of the monetary policy, the main methods are statistical and econometric analysis. The results of this study allow us to identify differences in the degree of reaction of the short and long ends of the yield curve to monetary shocks, as well as to assess the role of monetary policy uncertainty in the transmission of monetary shocks to the OFZ market. The conclusions of the study are that a positive shock of the MIACR rate leads to an increase in OFZ yields, the duration of the reaction is from 5 to 9 months. In general, this indicates the operability of this link of the transmission mechanism of monetary policy, the possibilities to influence the term structure of interest rates by monetary policy measures. It is also revealed that the uncertainty of the monetary policy of the Bank of Russia, perceived by economic agents, reduces the degree of reaction of OFZ yields to shocks of the MIACR rate.