Эконометрический анализ ошибок официальных прогнозов инфляции в России
In this paper we analyze official monthly inflation forecast in Russia using ARMA-model. The main purpose of the analysis is to test hypotheses about whether the official inflation forecast is an instrument of monetary policy.
Optimization of coefficients in monetary policy rules is performed on the base of the DSGE-model with two independent monetary policy instruments estimated on the Russian data. It was found that welfare maximizing policy rules lead to inadequate result and pro-cyclical monetary policy. Optimal coefficients in Taylor rule and exchange rate rule allow decreasing about 20% of volatility estimated on Russian data of 2001–2012. The degree of exchange rate flexibility parameter was found to be lower than its current value. It means that Bank of Russia has to systematically smooth exchange rate dynamics when it will adopt inflation targeting in 2015.
The problem of optimal monetary policy is extremely relevant for Russia. Although the monetary authority claims that inflation targeting is the main goal of the monetary policy, empirical finding suggest that the real exchange rate targeting is of major importance (see Vdovichenko / Voronina 2004). Due to the rising flow of petrodollars, the rouble is currently experiencing a significant real appreciation. The fear to harm exports causes the monetary authority to respond by accumulating dollar reserves and increasing the money supply, thus preventing a nominal appreciation. Such policy leads to high inflation which benefits of some groups at the expense of others. That is why the optimal degree of intervention is in the centre of the current political and economic debate.
The first yearbook, published by the Observatoire franco-russe, aims to provide the most complete analysis possible of the situation in Russia. Bringing together the contributions of some 50 recognized experts, it is organized around four themes: the economy, internal politics and society, regions and foreign and defense policy. The fifth part, entitled “Franco-Russian Miscellany”, illustrates the history, diversity and exceptional richness of relations between our two countries. Considering discrepancies between perceptions of Russia in Europe and the evolutions that have occurred in the country since the end of the UDDR, the Observatoire wishes to provide dispassionate, in-depth, operational and accessible expertise. In other words, to restore a measure of nuance and complexity to a subject too often caricatured either intentionally or by ignorance.
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.
Based on an analysis of exchange rates and industrial production in the world’s twenty-five largest economies during the current global crisis, the author challenges the commonly held concept that the absorption of exogenous shocks that stabilizes the real sector of the economy is one of the advantages of a free-floating exchange rate policy. The article also analyzes additional risks associated with a free-floating exchange rate regime in Russia and presents some arguments in favor of a managed-floating exchange rate regime.