Вербальные интервенции Банка России и структура процентных ставок

AlterEconomics (ранее - Журнал экономической теории). 2019. № 4. С. 654–672.

Telegin O., Merzlyakov S.

This paper is devoted to the analysis of the Bank of Russia verbal interventions from 2014 to 2017 and relationship between verbal interventions and interest rates in Russian economy. As verbal interventions of the regulator, all statements made by officials of the Bank of Russia were examined, as well as statements by the press service and published results of the Bank of Russia departments. As interest rates in the economy of the Russian Federation, values of the zero-coupon yield curve of the Moscow Exchange were taken into account. The study showed that for measuring the relationship between the structure of interest rates in the economy, other macroeconomic indicators and verbal interventions, it is necessary to take into account the instability of model parameters and use models for particular time segments. Using tools, new to the scientific literature on this topic, we obtained optimal time segments to improve the quality of data presentation. The estimations of various models with inclusion of the ARCH and GARCH components showed that the Bank of Russia information policy had a significant impact on short, medium and long interest rates. At the same time, the relationship between the statements of the Bank of Russia representatives and interest rates depends both on the subject and on the tone of the statements. This work complements existing literature on information policy by studying the influence of the communication not only on the current economic dynamics, but also on the long-term expectations of agents. In addition, the paper discusses the problems of the effectiveness of the Bank of Russia information policy and considers a number of proposals to improve its efficiency.

Keywords: информационная политика, GARCH-модели, вербальные интервенции, Банк России, Bank of Russia, verbal interventions, communication policy, GARCH-models, zero-coupon yield curve, кривая бескупонной доходности