Регулярные коммуникации Банка России и краткосрочные эффекты волатильности на финансовых рынках

Журнал Новой экономической ассоциации. 2022. № 54. С. 130–155.

Telegin O.

This paper investigates the relationship between the volatility of various indicators of the financial markets of Russia and the communication policy of the Bank of Russia, namely, regular communications channel - press releases and press conferences following the meetings of the Board of Directors of the Bank of Russia. The results of econometric analysis using HAR-models of high-frequency 5-minute volatility, taking into account intraday volatility patterns, show that regular communications of the Bank of Russia (namely, press releases following a meeting of the Bank of Russia Board of Directors) really increase volatility in financial markets, while market participants cannot instantly take into account in the price the arrival of new information, and this process takes about 15-20 minutes. However, the effect of increasing volatility is practically insignificant statistically when it comes to press conferences of the Governor Elvira Nabiullina. This result may indicate almost complete absence of new information for market participants, disclosed during the opening speech of the press conference and the Q&A session. Also, within the framework of the study, recommendations were formulated for the Bank of Russia to change the format of regular communications.

Keywords: вербальные интервенции, Банк России, Bank of Russia, коммуникационная политика, exchange rate volatility, волатильность валютного курса, verbal interventions, central bank, communication policy, HAR-models, HAR-модели, центральный банк

Publication based on the results of: Macroeconomic policy: from stagnation to sustainable economic growth (2022)