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Russian Journal of Money and Finance最新文献

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Review of the Bank of Russia Conference Inflation: New Insights for Central Banks 回顾俄罗斯银行会议通货膨胀:中央银行的新见解
Russian Journal of Money and Finance Pub Date : 2018-09-01 DOI: 10.31477/RJMF.201803.03
A. Sinyakov, Ivan Khotulev
{"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}
引用次数: 1
Shaken, not Stirred: Comparing the Effectiveness of Pure and Hybrid Inflation Targeting 动摇，而非搅动:比较纯通胀目标制与混合通胀目标制的有效性
Russian Journal of Money and Finance Pub Date : 2018-09-01 DOI: 10.31477/rjmf.201803.65
P. Kartaev, Irina Maxime Luneva
{"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}
引用次数: 5
The Short-Run Effects of Unanticipated Monetary Shocks Under Distinct Trading Mechanisms 不同交易机制下非预期货币冲击的短期效应
Russian Journal of Money and Finance Pub Date : 2018-09-01 DOI: 10.31477/rjmf.201803.76
Luis Araujo, A. Shevchenko
{"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}
引用次数: 0
Identification of Financial Sector Optimal Depth and Structure from the Perspective of Economic Growth, Macroeconomic and Financial Stability 经济增长、宏观经济和金融稳定视角下金融部门最优深度和结构的确定
Russian Journal of Money and Finance Pub Date : 2018-09-01 DOI: 10.31477/RJMF.201803.89
M. Mamonov, R. Akhmetov, V. Pankova, O. Solntsev, A. Pestova, A. Deshko
{"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}
引用次数: 10
Computing Long-Term Market Inflation Expectations for Countries Without Inflation Expectation Markets 计算没有通胀预期市场的国家的长期市场通胀预期
Russian Journal of Money and Finance Pub Date : 2018-09-01 DOI: 10.31477/RJMF.201803.23
Petra Gerlach-Kristen, R. Moessner, Rina Rosenblatt-Wisch
{"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}
引用次数: 15
Forecasting for the Russian Economy Using Small-Scale DSGE Models 利用小尺度DSGE模型预测俄罗斯经济
Russian Journal of Money and Finance Pub Date : 2018-06-01 DOI: 10.31477/rjmf.201802.51
Dmitry Kreptsev, S. Seleznev
{"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}
引用次数: 7
A Multi-Country Study of Cross-Border Transmission of Monetary Policy by IBRN IBRN对货币政策跨境传导的多国研究
Russian Journal of Money and Finance Pub Date : 2018-06-01 DOI: 10.31477/rjmf.201802.81
K. Styrin
{"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}
引用次数: 0
Competition in Russia’s Banking Sector Prior to and After Supervision Policy Enhancement: Conclusions Based on Interest Rate Dispersion and Spread 监管政策加强前后俄罗斯银行业竞争:基于利率分散和价差的结论
Russian Journal of Money and Finance Pub Date : 2018-06-01 DOI: 10.31477/RJMF.201802.22
Yulia V. Ushakova, A. Kruglova
{"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}
引用次数: 8
Sterilized Interventions in the Form of Foreign Currency Repos: VECM Analysis Using Russian Data 外汇回购形式的冲销干预:基于俄罗斯数据的VECM分析
Russian Journal of Money and Finance Pub Date : 2018-06-01 DOI: 10.31477/RJMF.201802.68
A. Shulgin
{"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}
引用次数: 1
Frontiers of Monetary Policy: Global Trends and Russian Inflation Targeting Practices 货币政策前沿:全球趋势和俄罗斯通胀目标制实践
Russian Journal of Money and Finance Pub Date : 2018-06-01 DOI: 10.31477/RJMF.201802.95
K. Yudaeva
{"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}
引用次数: 8
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