Прогноз спроса на аукционе РЕПО с Банком России
Combination of the offered volume on the REPO auction with the Bank of Russia and the demand for it produce powerful signaling mechanism for the interbank money market. In order to have a possibility to emit an unintended signal there is a need for a robust estimator of the demand. This paper proposes an approach to produce such an estimator through an ensemble of logistic and linear regression models. This estimator successfully emulates many of the key features of the process.
The pace of global recovery remains weak. More than twelve months since the G-20 summit in Los Cabos, G-20 members are laboring their way towards “Strong, Sustainable and Balanced Growth” in a clouded world economic outlook, with the eurozone in a state of recession, a combination of policy stalemate and across the board fiscal consolidation constraining growth in the U.S., and emerging markets and developing countries experiencing a clear slowdown compared to their rapid pre-crisis expansion. A durable recovery that creates good jobs, which G-20 leaders agreed to cooperate for in September 2009, proves to be an elusive objective. Fiscal consolidation acts as a drag on economic recovery and the G-20’s capacity to deliver on the growth and jobs agenda is questioned by its citizens. This calls for the G-20 members’ commitment to a balanced and coordinated mix of policies and instruments, reflective of the state of their economies, which would gradually strengthen economic growth and promote macroeconomic stability. Responding to global and domestic priorities, Russia has placed growth and jobs at the core of the G-20 agenda within the fundamental question of what should be the main macroeconomic and financial policy requirements for growth.
The ability of a central bank to conduct an independent monetary policy is a key condition for switching to a free floating exchange rate regime and for pursuing inflation targeting policies. The objective of our study is to evaluate how the exchange rate policies conducted by the Russian Central Bank (RCB) during different periods have impacted the domestic money market. We estimate the sensitivity of domestic interest rates to their foreign counterparts through uncovered and covered interest rate parities and find significant variations in the coefficient estimates for different phases of exchange rate policies. This dynamics allows us to assess how successful the RCB were in its efforts to create an institutional background enabling a gradual transition to free floating and inflation targeting monetary policies.