Монетарные сюрпризы и временная структура процентных ставок: идентификация посредством гетероскедатичности

Прикладная эконометрика. 2024. Т. 74. С. 5–34.

Kramkov V., Maksimov A. G.

Heteroscedasticity How does an unexpected change in the Bank of Russia key rate affect the bond market? This article quantifies the impact of monetary surprises on government bond yields of various maturities. To estimate the causal effect with the joint dynamics of the key rate and bond yields (that is, to solve the problem of endogenous bias), we use the heteroscedasticity‑driven identification method that re quires weaker assumptions than other alternative methods used in the literature. The results confirm the significant impact of monetary policy surprises on the interest rate term structure, with a greater effect on short‑term rates. In contrast to previous studies, the behavior of long‑term rates is consistent with the expectations hypothesis: risk premia do not respond significantly to a monetary shock.

Keywords: денежно-кредитная политика, instrumental variables, term structure of interest rates, инструментальные переменные, монетарные шоки, временная структура процентных ставок, identification through heteroskedasticity, Bank of Russia monetary policy, monetary shocks, идентификация с помощью гетероскедастичности