Zaernyuk V.M.Russian State Geological Prospecting University n.a. Sergo Ordzhonikidzе, Moscow, Russian Federation zvm465@mail.ru
Lopatina O.A.Moscow Region University of Technology (UNITECH), Korolev, Moscow Oblast, Russian Federation ogunba@mail.ru
Subject The article addresses monetary transmission channels functioning. Objectives The research aims to analyze mechanisms of monetary policy in the Russian economy, estimate the dynamic response of main macroeconomic variables of the monetary policy by estimates of pulse functions of the response. Methods The study employs the vector autoregression method (VAR). We analyze impulse functions from the shocks of interest rates, corporate lending, volumes of money supply, price and exchange rate increase, and provide an interpretation of transmission channels of the Russian economy. Results We considered and statistically confirmed the channels of monetary transmission, namely interest rate, bank lending, cash flow, unpredictable price hikes, and exchange rate. In general, the results show that the application of standard methods of VAR to the data of the Russian economy, as a developing one, can be used as a guideline for further theoretical and empirical analysis of the mechanism of transmission. Conclusions The efficiency of various channels of monetary transmission differs. The study revealed high efficiency of exchange rate channel, bank lending channel and channel of unpredictable price hikes, and low efficiency of the interest rate channel and cash flow channel. Thorough identification of monetary policy transmission channels is an important step towards global assessment of huge institutional changes. Researches in this area shall be constantly updated because of structural changes.
Keywords: monetary policy, vector autoregression, pulse function
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