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ИД «Финансы и кредит»






Finance and Credit

The eventual econometric model of the monetary policy of the Russian Federation

Vol. 28, Iss. 4, APRIL 2022

Received: 27 January 2022

Received in revised form: 10 February 2022

Accepted: 24 February 2022

Available online: 28 April 2022


JEL Classification: B23, C51, C53, E52

Pages: 878–899


Lyudmila V. GUDAKOVA Kuban State University (KubSU), Krasnodar, Russian Federation


Elena D. GREBENNIKOVA Kuban State University (KubSU), Krasnodar, Russian Federation


Galina I. FOSHCHAN Kuban State University (KubSU), Krasnodar, Russian Federation


Subject. The article addresses economic relations arising in the sphere of monetary policy implementation.
Objectives. The aim is to assess the impact of macroeconomic indicators on the results of monetary policy in Russia, to make a model of Russia’s own monetary policy strategy, which will be based on the dependence of macroeconomic (GDP, unemployment, oil price) indicators of the country from 2000 to 2020.
Methods. The study employs correlation and regression methods for analyzing the statistical data from 2000 to 2020, as well as systematization, dialectical approach, method of comparative analysis and synthesis, induction and deduction, analysis and synthesis, and classification.
Results. Within the framework of econometric modeling, we analyzed the features of regulation of the monetary policy of the Central Bank. To assess the monetary policy, we built an eventual model based on the correlation and regression method of statistical data analysis. When analyzing real data, we tested the stationarity of time series, the presence of causal relationship between variables, and performed tests to detect heteroscedasticity. With the help of Autocorrelation Function (ACF) and Partial Autocorrelation Function (PACF), we determined the type of auto-regressive model.
Conclusions. In Russia, there is an increase in the gross domestic product due to an increase in oil prices and a decrease in GDP, subject to unemployment rate growth. This determined the accuracy of the analysis of such indicators as unemployment, oil price and gross domestic product, which influenced the creation of a suitable eventual econometric model of monetary policy.

Keywords: econometric model, correlation, forecasting, monetary policy, gross domestic product


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