评估俄罗斯银行关键利率决策的可预测性及其预测的信息优势

IF 0.7 Q3 ECONOMICS
M. I. Abdurakhmanov
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引用次数: 0

摘要

中央银行的沟通政策在确定经济行为主体的预期方面发挥着重要作用。如果关键利率决策与市场预期不一致,那么管理预期和锚定通胀预期可能会很困难。我们通过两种方法评估了俄罗斯央行在 2021-2023 年期间关键利率决策的可预测性:利用对分析师的媒体调查和俄罗斯政府债券指数及其收益率每日波动的变化。结果显示,意外的关键利率决策对俄罗斯政府债券价格和每日波动率有重大影响。然后,利用宏观经济调查数据计算出的统计指标以及另一个线性和片断线性模型,我们发现了俄罗斯银行在预测关键利率方面的信息优势。俄罗斯银行的信息优势以及研究期间地缘政治和通胀风险的实现解释了市场意料之外的决策。因此,我们得出结论,有必要提高有关未来决策的沟通质量。随着沟通政策的发展,俄罗斯央行对关键利率决策的可预测性将会提高。反过来,经济行为主体和市场参与者将提前适应预期决策,这将加快实现通胀目标和调整通胀预期。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Assessing the predictability of the Bank of Russia decisions on the key rate and informational advantage in its forecasting
The communication policy of central banks plays a significant role in setting the expectations of economic agents. If key rate decisions are inconsistent with market expectations, managing expectations and anchoring inflation expectations may be difficult. We assess the predictability of the Bank of Russia’s key rate decisions over the 2021—2023 period in two ways: using media surveys of analysts and shifts in the Russian government bond index and the daily volatility of its yield. The results show a significant impact of unexpected key rate decisions on Russian government bond prices and daily volatility. Then, using statistical metrics computed from macroeconomic survey data and another linear and piecewise linear model, we find the informational advantage of the Bank of Russia in predicting the key rate. The decisions unexpected for the market are explained by the information advantage of the Bank of Russia, as well as the realization of geopolitical and inflation risks in the period under study. Thus, we conclude that there is a need to improve the quality of communication regarding future decisions. As the communication policy develops, the predictability of the Bank of Russia’s decisions on the key rate will increase. In turn, economic agents and market participants will adapt to the expected decisions in advance, which will accelerate the achievement of the inflation target and the adjustment of inflation expectations.
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来源期刊
Voprosy Ekonomiki
Voprosy Ekonomiki ECONOMICS-
CiteScore
1.80
自引率
25.00%
发文量
86
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