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ИД «Финансы и кредит»






Digest Finance

The effects of monetary policy on the Russian financial market behavior

Vol. 28, Iss. 2, JUNE 2023

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Received: 11 December 2018

Received in revised form: 14 January 2019

Accepted: 28 January 2019

Available online: 29 June 2023


JEL Classification: C11, E52, E58

Pages: 179–199


Marina G. TIUNOVA Lomonosov Moscow State University, Moscow, Russian Federation


Subject. The article deals with the assessment of the effects of local monetary policy on the national financial sector in Russia. It highlights the importance of exogenous shocks in the dynamics of internal financial variables in emerging market economies.
Objectives. The study aims to estimate the impact of the Bank of Russia monetary policy tools on changes in the key indicators of the Russian financial market for 2003–2018.
Methods. The methodology rests on the vector autoregression model. The resulting parameters of the model are the interbank interest rate, government bond yield, equity index, credit default swap spread, and exchange rate. The estimated coefficients of the model are built on the Bayesian approach. The structural identification of the model is based on the Cholesky decomposition.
Results. The findings show that the monetary policy of the Bank of Russia has a significant impact on the national financial market performance. The shocks of the key interest entail changes in short-term and long-term interest rates. The restrictive monetary policy elicits tightening of the local financial market, a downward change in the equity index, and an increase in the government bond yield. The weaker Russian ruble leads to increased risk in the Russian financial market.
Conclusions. The results of the research can be used as a basis for practical recommendations for the Bank of Russia, for instance, adopting a financial stability policy, developing the availability and variety of financial services, boosting the competition in the Russian financial market.

Keywords: monetary policy, financial market, emerging market, stock market, vector autoregression


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