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Investigating the Impact of Monetary Policy using the Vector Autoregression Method

Year 2016, Volume: 6 Issue: 2, 273 - 282, 01.04.2016

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 method (VAR). 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

Year 2016, Volume: 6 Issue: 2, 273 - 282, 01.04.2016

Abstract

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Details

Other ID JA85DY79DN
Journal Section Research Article
Authors

Oleg Nikolayevich Salmanov This is me

Victor Makarovich Zaernjuk This is me

Olga Alekseevna Lopatina This is me

İrina Petrovna Drachena This is me

Evgeniya Viktorovna Vikulina This is me

Publication Date April 1, 2016
Published in Issue Year 2016 Volume: 6 Issue: 2

Cite

APA Salmanov, O. N., Zaernjuk, V. M., Lopatina, O. A., Drachena, İ. P., et al. (2016). Investigating the Impact of Monetary Policy using the Vector Autoregression Method. International Journal of Economics and Financial Issues, 6(2), 273-282.
AMA Salmanov ON, Zaernjuk VM, Lopatina OA, Drachena İP, Vikulina EV. Investigating the Impact of Monetary Policy using the Vector Autoregression Method. IJEFI. April 2016;6(2):273-282.
Chicago Salmanov, Oleg Nikolayevich, Victor Makarovich Zaernjuk, Olga Alekseevna Lopatina, İrina Petrovna Drachena, and Evgeniya Viktorovna Vikulina. “Investigating the Impact of Monetary Policy Using the Vector Autoregression Method”. International Journal of Economics and Financial Issues 6, no. 2 (April 2016): 273-82.
EndNote Salmanov ON, Zaernjuk VM, Lopatina OA, Drachena İP, Vikulina EV (April 1, 2016) Investigating the Impact of Monetary Policy using the Vector Autoregression Method. International Journal of Economics and Financial Issues 6 2 273–282.
IEEE O. N. Salmanov, V. M. Zaernjuk, O. A. Lopatina, İ. P. Drachena, and E. V. Vikulina, “Investigating the Impact of Monetary Policy using the Vector Autoregression Method”, IJEFI, vol. 6, no. 2, pp. 273–282, 2016.
ISNAD Salmanov, Oleg Nikolayevich et al. “Investigating the Impact of Monetary Policy Using the Vector Autoregression Method”. International Journal of Economics and Financial Issues 6/2 (April 2016), 273-282.
JAMA Salmanov ON, Zaernjuk VM, Lopatina OA, Drachena İP, Vikulina EV. Investigating the Impact of Monetary Policy using the Vector Autoregression Method. IJEFI. 2016;6:273–282.
MLA Salmanov, Oleg Nikolayevich et al. “Investigating the Impact of Monetary Policy Using the Vector Autoregression Method”. International Journal of Economics and Financial Issues, vol. 6, no. 2, 2016, pp. 273-82.
Vancouver Salmanov ON, Zaernjuk VM, Lopatina OA, Drachena İP, Vikulina EV. Investigating the Impact of Monetary Policy using the Vector Autoregression Method. IJEFI. 2016;6(2):273-82.