At the beginning of June, the Bank of Russia held in St. Petersburg the international economic research conference Inflation: New Insights for Central Banks. In its format and scope of participants, the conference was the first major international event arranged by the Bank of Russia after it switched to the inflation targeting regime in 2015. We are presenting a brief review of the conference, the main results of the studies presented and their potential policy role for central banks.
6月初，俄罗斯央行在圣彼得堡召开了“通货膨胀:央行的新见解”国际经济研究会议。就其形式和参与者范围而言，此次会议是俄罗斯央行(Bank of Russia)在2015年转向通胀目标制后安排的首个重大国际活动。我们将简要回顾这次会议，介绍研究的主要结果及其对中央银行的潜在政策作用。
{"title":"Review of the Bank of Russia Conference Inflation: New Insights for Central Banks","authors":"A. Sinyakov, Ivan Khotulev","doi":"10.31477/RJMF.201803.03","DOIUrl":"https://doi.org/10.31477/RJMF.201803.03","url":null,"abstract":"At the beginning of June, the Bank of Russia held in St. Petersburg the international economic research conference Inflation: New Insights for Central Banks. In its format and scope of participants, the conference was the first major international event arranged by the Bank of Russia after it switched to the inflation targeting regime in 2015. We are presenting a brief review of the conference, the main results of the studies presented and their potential policy role for central banks.","PeriodicalId":358692,"journal":{"name":"Russian Journal of Money and Finance","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131622262","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The study explores how the choice between pure and mixed (hybrid) inflation targeting affects the likelihood of achieving the announced inflation target achievement. Pure inflation targeting is deemed to be a regime under which inflation is the only variable in a central bank’s objective function, while hybrid targeting is an alternative regime, which, in addition to inflation, includes the exchange rate in monetary authorities’ objective function. Modeling is conducted on panel data of 32 inflation targeting countries. The cluster analysis method is applied to classify countries with respect to the regime used: pure or hybrid. Then a binary choice model of the probability of achieving the inflation target is estimated. The use of the hybrid option of inflation targeting is found to be associated with the increase in this probability, suggesting a higher effectiveness of this regime versus pure inflation targeting.
{"title":"Shaken, not Stirred: Comparing the Effectiveness of Pure and Hybrid Inflation Targeting","authors":"P. Kartaev, Irina Maxime Luneva","doi":"10.31477/rjmf.201803.65","DOIUrl":"https://doi.org/10.31477/rjmf.201803.65","url":null,"abstract":"The study explores how the choice between pure and mixed (hybrid) inflation targeting affects the likelihood of achieving the announced inflation target achievement. Pure inflation targeting is deemed to be a regime under which inflation is the only variable in a central bank’s objective function, while hybrid targeting is an alternative regime, which, in addition to inflation, includes the exchange rate in monetary authorities’ objective function. Modeling is conducted on panel data of 32 inflation targeting countries. The cluster analysis method is applied to classify countries with respect to the regime used: pure or hybrid. Then a binary choice model of the probability of achieving the inflation target is estimated. The use of the hybrid option of inflation targeting is found to be associated with the increase in this probability, suggesting a higher effectiveness of this regime versus pure inflation targeting.","PeriodicalId":358692,"journal":{"name":"Russian Journal of Money and Finance","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123849170","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We unveil the existence of a trade-o ff between e ffi ciency and information transmission in a decentralized economy subject to a monetary shock. If the objective is to maximize information transmission, then the optimal trading protocol is inherently ine ffi cient. If, instead, the objective is to maximize e ffi ciency, then the optimal trading protocol is necessarily uninformative.
{"title":"The Short-Run Effects of Unanticipated Monetary Shocks Under Distinct Trading Mechanisms","authors":"Luis Araujo, A. Shevchenko","doi":"10.31477/rjmf.201803.76","DOIUrl":"https://doi.org/10.31477/rjmf.201803.76","url":null,"abstract":"We unveil the existence of a trade-o ff between e ffi ciency and information transmission in a decentralized economy subject to a monetary shock. If the objective is to maximize information transmission, then the optimal trading protocol is inherently ine ffi cient. If, instead, the objective is to maximize e ffi ciency, then the optimal trading protocol is necessarily uninformative.","PeriodicalId":358692,"journal":{"name":"Russian Journal of Money and Finance","volume":"323 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124573685","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
M. Mamonov, R. Akhmetov, V. Pankova, O. Solntsev, A. Pestova, A. Deshko
This paper attempts to estimate financial sector development targets which, other things being equal, provide for the best possible GDP performance while ensuring its growth sustainability along with price and financial stability. To address this task, the hypothesis of nonlinear relationship between GDP dynamics, its volatility, inflation, the frequency of financial crises, on the one hand and the development of key financial sector segments was tested. The study used a standard technique of panel data regression analysis, on the other hand employed in studies examining similar issues and a sample of 63 emerging and advanced economies covering 1980 – 2014.
{"title":"Identification of Financial Sector Optimal Depth and Structure from the Perspective of Economic Growth, Macroeconomic and Financial Stability","authors":"M. Mamonov, R. Akhmetov, V. Pankova, O. Solntsev, A. Pestova, A. Deshko","doi":"10.31477/RJMF.201803.89","DOIUrl":"https://doi.org/10.31477/RJMF.201803.89","url":null,"abstract":"This paper attempts to estimate financial sector development targets which, other things being equal, provide for the best possible GDP performance while ensuring its growth sustainability along with price and financial stability. To address this task, the hypothesis of nonlinear relationship between GDP dynamics, its volatility, inflation, the frequency of financial crises, on the one hand and the development of key financial sector segments was tested. The study used a standard technique of panel data regression analysis, on the other hand employed in studies examining similar issues and a sample of 63 emerging and advanced economies covering 1980 – 2014.","PeriodicalId":358692,"journal":{"name":"Russian Journal of Money and Finance","volume":"189 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134360840","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Petra Gerlach-Kristen, R. Moessner, Rina Rosenblatt-Wisch
We derive daily market‐based domestic long‐term inflation expectations for eight countries without inflation swap markets. To do so, we use foreign inflation swaps together with (1) foreign and domestic interest rate swaps assuming that purchasing power parity (PPP) and uncovered interest rate parity (UIP) hold or together with (2) spot and forward exchange rates assuming that PPP, UIP and covered interest rate parity (CIP) hold. We confirm the plausibility of our PPP‐UIP and PPP‐UIC‐CIP measures by also applying these methods for countries with inflation swap markets. We moreover illustrate how the data can be used to answer such questions as whether inflation reacts to long‐term inflation expectations, whether these expectations are well‐anchored and how long‐term real interest rates have moved over the past decade.
{"title":"Computing Long-Term Market Inflation Expectations for Countries Without Inflation Expectation Markets","authors":"Petra Gerlach-Kristen, R. Moessner, Rina Rosenblatt-Wisch","doi":"10.31477/RJMF.201803.23","DOIUrl":"https://doi.org/10.31477/RJMF.201803.23","url":null,"abstract":"We derive daily market‐based domestic long‐term inflation expectations for eight countries without inflation swap markets. To do so, we use foreign inflation swaps together with (1) foreign and domestic interest rate swaps assuming that purchasing power parity (PPP) and uncovered interest rate parity (UIP) hold or together with (2) spot and forward exchange rates assuming that PPP, UIP and covered interest rate parity (CIP) hold. We confirm the plausibility of our PPP‐UIP and PPP‐UIC‐CIP measures by also applying these methods for countries with inflation swap markets. We moreover illustrate how the data can be used to answer such questions as whether inflation reacts to long‐term inflation expectations, whether these expectations are well‐anchored and how long‐term real interest rates have moved over the past decade.","PeriodicalId":358692,"journal":{"name":"Russian Journal of Money and Finance","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127321469","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study examines the ability of a small-scale DSGE model to forecast the dynamics of key macroeconomic variables for the Russian economy. The study uses two versions of a standard model of a small open economy, adding a stochastic oil price trend under various assumptions about exchange rate policy. Comparison with the same size BVAR model shows DSGE models to be superior as regards exchange rate, price and interest rate forecasting and slightly inferior with respect to GDP forecasting.
{"title":"Forecasting for the Russian Economy Using Small-Scale DSGE Models","authors":"Dmitry Kreptsev, S. Seleznev","doi":"10.31477/rjmf.201802.51","DOIUrl":"https://doi.org/10.31477/rjmf.201802.51","url":null,"abstract":"This study examines the ability of a small-scale DSGE model to forecast the dynamics of key macroeconomic variables for the Russian economy. The study uses two versions of a standard model of a small open economy, adding a stochastic oil price trend under various assumptions about exchange rate policy. Comparison with the same size BVAR model shows DSGE models to be superior as regards exchange rate, price and interest rate forecasting and slightly inferior with respect to GDP forecasting.","PeriodicalId":358692,"journal":{"name":"Russian Journal of Money and Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125196568","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This short report surveys main findings of a recent multi-country research effort within the IBRN network. 17 national teams used confidential supervisory bank-level data to study international transmission of monetary policy changes in systemic countries into bank lending to private non-financial borrowers worldwide. Two channels of transmission, the bank funding channel and asset rebalancing channel, are tested separately. The effect of monetary policy changes in the US on domestic lending is statistically significant in most specifications. The economic significance of the estimated effect is relatively higher for more financially open economies and emerging markets.
{"title":"A Multi-Country Study of Cross-Border Transmission of Monetary Policy by IBRN","authors":"K. Styrin","doi":"10.31477/rjmf.201802.81","DOIUrl":"https://doi.org/10.31477/rjmf.201802.81","url":null,"abstract":"This short report surveys main findings of a recent multi-country research effort within the IBRN network. 17 national teams used confidential supervisory bank-level data to study international transmission of monetary policy changes in systemic countries into bank lending to private non-financial borrowers worldwide. Two channels of transmission, the bank funding channel and asset rebalancing channel, are tested separately. The effect of monetary policy changes in the US on domestic lending is statistically significant in most specifications. The economic significance of the estimated effect is relatively higher for more financially open economies and emerging markets.","PeriodicalId":358692,"journal":{"name":"Russian Journal of Money and Finance","volume":"109 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116245253","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Enhancement of the Bank of Russia's supervision policy in 2013 has heightened the relevance of evaluating banking competition as a tool to study the effects of banking sector recovery. We propose simple-to-calculate competition measures based on the dispersion and spread of loan and deposit rates across banks adjusted for the estimated risk of banks'lending policy. Estimation was performed for the period of 2010-2017. We have found no weakening in competition as measured by these indicators. This result has been corroborated by estimating an alternative but more elaborately calculated competition measure - the Boone indicator. We have also found that the period following this policy launch saw a drop in the volatility of corporate and retail lending in both the cluster of banks showing a relatively low level of nonperforming loans and amomg banks with a relatively high NPL level. This is accomponied by relatively low values of the systemic risk indicator SRISK and gradual recovery of the Z-index, which agrees with banking sector stability improvement.
2013年俄罗斯央行(Bank of Russia)监管政策的加强，凸显了将银行业竞争评估作为研究银行业复苏效果的工具的重要性。我们根据银行贷款政策的估计风险调整了银行间存贷款利率的分散和扩散，提出了简单计算的竞争指标。对2010-2017年期间进行了估计。从这些指标来看，我们没有发现竞争减弱。这一结果已通过估算另一种但更精心计算的竞争衡量标准——布恩指标得到证实。我们还发现，在这一政策推出后的一段时间里，无论是不良贷款水平相对较低的银行集群，还是不良贷款水平相对较高的银行集群，企业和零售贷款的波动性都有所下降。与此同时，系统性风险指标SRISK相对较低，z指数逐渐回升，与银行业稳定性改善相一致。
{"title":"Competition in Russia’s Banking Sector Prior to and After Supervision Policy Enhancement: Conclusions Based on Interest Rate Dispersion and Spread","authors":"Yulia V. Ushakova, A. Kruglova","doi":"10.31477/RJMF.201802.22","DOIUrl":"https://doi.org/10.31477/RJMF.201802.22","url":null,"abstract":"Enhancement of the Bank of Russia's supervision policy in 2013 has heightened the relevance of evaluating banking competition as a tool to study the effects of banking sector recovery. We propose simple-to-calculate competition measures based on the dispersion and spread of loan and deposit rates across banks adjusted for the estimated risk of banks'lending policy. Estimation was performed for the period of 2010-2017. We have found no weakening in competition as measured by these indicators. This result has been corroborated by estimating an alternative but more elaborately calculated competition measure - the Boone indicator. We have also found that the period following this policy launch saw a drop in the volatility of corporate and retail lending in both the cluster of banks showing a relatively low level of nonperforming loans and amomg banks with a relatively high NPL level. This is accomponied by relatively low values of the systemic risk indicator SRISK and gradual recovery of the Z-index, which agrees with banking sector stability improvement.","PeriodicalId":358692,"journal":{"name":"Russian Journal of Money and Finance","volume":"95 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122533355","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The study examines the foreign currency repo program launched by the Bank of Russia after financial sanctions were imposed on Russia in 2014. Russian 2014-2017 daily statistics were used to estimate three vector error correction models which revealed a statistically significant temporary effect of sterilized interventions in the form of foreign currency repos on the ruble exchange rate to the dollar. An impulse response of the exchange rate to the expansion in foreign-currency-denominated borrowings has the correct sign, reaches its maximum on the 9th business day and is found to be statistically significant within 7-14 business days after the auction date. The response of the exchange rate was found to be asymmetric: the winding down of the foreign currency repo program had no statistically significant effect on the exchange rate.
{"title":"Sterilized Interventions in the Form of Foreign Currency Repos: VECM Analysis Using Russian Data","authors":"A. Shulgin","doi":"10.31477/RJMF.201802.68","DOIUrl":"https://doi.org/10.31477/RJMF.201802.68","url":null,"abstract":"The study examines the foreign currency repo program launched by the Bank of Russia after financial sanctions were imposed on Russia in 2014. Russian 2014-2017 daily statistics were used to estimate three vector error correction models which revealed a statistically significant temporary effect of sterilized interventions in the form of foreign currency repos on the ruble exchange rate to the dollar. An impulse response of the exchange rate to the expansion in foreign-currency-denominated borrowings has the correct sign, reaches its maximum on the 9th business day and is found to be statistically significant within 7-14 business days after the auction date. The response of the exchange rate was found to be asymmetric: the winding down of the foreign currency repo program had no statistically significant effect on the exchange rate.","PeriodicalId":358692,"journal":{"name":"Russian Journal of Money and Finance","volume":"112 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131774515","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The IMF published in April 2018 the book Advancing the Frontiers of Monetary Policy written by its experts and edited by Tobias Adrian, Douglas Laxton and Maurice Obstfeld, providing a rare chance to learn the views of people who could be called the architects of inflation targeting. The book deals with practical issues of using this monetary policy regime which has quickly gained wide acceptance and is currently employed by central banks of most countries in the world. Some issues of inflation targeting policy further improvements brought up in the book are also relevant to Russia.
{"title":"Frontiers of Monetary Policy: Global Trends and Russian Inflation Targeting Practices","authors":"K. Yudaeva","doi":"10.31477/RJMF.201802.95","DOIUrl":"https://doi.org/10.31477/RJMF.201802.95","url":null,"abstract":"The IMF published in April 2018 the book Advancing the Frontiers of Monetary Policy written by its experts and edited by Tobias Adrian, Douglas Laxton and Maurice Obstfeld, providing a rare chance to learn the views of people who could be called the architects of inflation targeting. The book deals with practical issues of using this monetary policy regime which has quickly gained wide acceptance and is currently employed by central banks of most countries in the world. Some issues of inflation targeting policy further improvements brought up in the book are also relevant to Russia.","PeriodicalId":358692,"journal":{"name":"Russian Journal of Money and Finance","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114178512","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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