scholarly journals Variations in the Effects of a Single Monetary Policy: The Case of Russian Regions

2021 ◽  
Vol 80 (1) ◽  
pp. 3-45
Author(s):  
Vadim Napalkov ◽  
◽  
Anna Novak ◽  
Andrey Shulgin ◽  
◽  
...  
Keyword(s):  
Monetary Policy ◽  
Manufacturing Sector ◽  
Model Specification ◽  
Impulse Response Functions ◽  
Russian Regions ◽  
Monetary Policy Shocks ◽  
Regional Heterogeneity ◽  
Core Inflation ◽  
Policy Shocks ◽  
Exchange Rate Shocks

This research analyses regional heterogeneity in the reaction of core inflation to shocks of a single monetary policy on the example of Russia. We use a global vector autoregression model to reveal impulse response functions of core inflation in Russian regions to monetary policy shocks. The average 5-year cumulative response of regional core inflation to a MIACR shock of 1 percentage point (pp) is ‒0.74 pp. For 77 out of 80 regions, the 5-year cumulative core inflation response is found to be statistically significant. If we exclude three statistically insignificant responses and discard the four regions with the highest and lowest responses, we get a spread of ‒0.55 to ‒0.93 pp with a standard deviation of 0.12. We show that, over a one-year horizon, the heterogeneous response to monetary policy shocks can moderately reduce the heterogeneity of the response of regional inflation to exchange rate shocks. However, the magnitude of this effect is limited. According to the analysis of the regional heterogeneity factors, the higher are the share of extractive industries in the gross regional product of a region, the share of loans to manufacturing sector, the share of loans to small enterprises, as well as the unemployment rate, the stronger will be the reaction of the core inflation to the monetary policy shock. The degree of heterogeneity in the Russian regions’ core inflation response to monetary policy shocks, the set of factors explaining this heterogeneity, and the explained variation in the regional response (30–40% depending on the model specification) turn out to be comparable to similar indicators in other countries with pronounced regional heterogeneity.

scholarly journals Effect of Monetary Policy on Investment in Russian Regions

2021 ◽  
Vol 80 (4) ◽  
pp. 31-49
Author(s):  
Andrei Shevelev ◽  
◽  
Maria Kvaktun ◽  
Kristina Virovets ◽  
◽  
...  
Keyword(s):  
Monetary Policy ◽  
Russian Regions ◽  
Monetary Policy Shocks ◽  
Vector Autoregressions ◽  
Explanatory Factors ◽  
Market Rate ◽  
Policy Shocks ◽  
Monetary Policy Shock ◽  
Regional Product ◽  
Effect Of Monetary Policy

This paper assesses the effect of monetary policy on investment in Russian regions. In the first stage of the research, we estimate the responses of regional investment to interbank market rate shocks using structural vector autoregressions. In the second stage, we estimate regression models using impulse responses as dependent variables and explanatory factors as independent variables. The regression calculations are performed using the Elastic Net regularisation technique. We find that regions with higher shares of manufacturing, agriculture and construction are more responsive to monetary policy shocks. In addition, we identified the high importance of these sectors in explaining the different effects of monetary policy on investment. The results also show that the larger is the share of the mining and quarrying sector in the gross regional product (GRP) and the greater the imports to GRP ratio, the smaller is the absolute change in investment from a monetary policy shock.

THE REGIONAL ASYMMETRIC RESPONSES TO CENTRAL BANK’S MONETARY POLICY IN PAKISTAN

2017 ◽  
Vol 65 (02) ◽  
pp. 351-364
Author(s):  
NASEEM FARAZ ◽  
ZAINAB IFTIKHAR
Keyword(s):  
Monetary Policy ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Structural Vector Autoregression ◽  
Monetary Policy Shocks ◽  
Limited Evidence ◽  
Svar Model ◽  
Policy Shocks ◽  
National Output ◽  
Structural Vector

Literature on differential impacts of monetary policy across regions discusses several factors which may be responsible for asymmetrical effects of monetary policy. As far as Pakistan is concerned, limited evidence is available for both mechanism and impact of monetary policy. In this study, we examine asymmetries in responses of real output of provinces to central bank’s monetary policy in Pakistan. We also attempt to explore the potential sources of these asymmetries. The Structural Vector Autoregression (SVAR) model is employed to examine each province’s response to unanticipated monetary policy shocks. The generalized impulse response functions from SVAR reveal that monetary policy has varied effects across the provinces. In two regions — Punjab and Sindh — monetary policy shocks cause variations in provincial outputs in similar ways. These responses are also comparable to the response of national output to changes in monetary policy but with considerable differences in magnitudes. While other provinces Khyber Pakhtunkhawa (KPK) and Balochistan show less sensitivity to unanticipated change in monetary policy. The less sensitive regions exhibit dissimilar responses both in timings and magnitudes. These dissimilarities in regional responses draw attention to devise an effective national monetary policy that might consider the cross-provincial differences in responses to central monetary policy in Pakistan.

scholarly journals Monetary Policy And Long-Term Interest Rates In South Africa

2010 ◽  
Vol 9 (10) ◽  
Author(s):  
Lumengo Bonga-Bonga
Keyword(s):  
South Africa ◽  
Monetary Policy ◽  
Interest Rates ◽  
Impulse Response Functions ◽  
Monetary Policy Shocks ◽  
Vector Autoregressive ◽  
Supply Shock ◽  
Policy Shocks ◽  
Structural Vector Autoregressive Model

This paper examines how short-term and long-term interest rates react to supply, demand and monetary policy shocks in South Africa. Use is made of the impulse response functions obtained from the structural vector autoregressive model with long-term restrictions. We find a positive correlation between the two interest rates after a monetary and demand shock and a negative correlation after a supply shock. The finding of this paper is that the operation of the monetary transmission mechanism should be effective in South Africa. Furthermore, this paper provides an approach to identify supply shocks in the South African business cycle.

scholarly journals Trade Balance Response to Shocks in Monetary Policy and Exchange Rate: Evidence from Pakistan using SVECM Approach

2017 ◽  
Vol 18 (3) ◽  
pp. 579-594
Author(s):  
Abdul Rahman Nizamani ◽  
Zulkefly Abdul Karim ◽  
Mohd Azlan Shah Zaidi ◽  
Norlin Khalid
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Trade Balance ◽  
Trade Deficit ◽  
Monetary Policy Shocks ◽  
Trade Surplus ◽  
Vector Error Correction ◽  
Policy Shocks ◽  
Short Run ◽  
Exchange Rate Shocks

This paper examines the effects of monetary policy and exchange rate shocks on the trade balance of Pakistan. Theseeffects are further investigated on the two broad categories of trade surplus and trade deficit sectors.Thisstudy has employed the Structural Vector Error Correction Model (SVECM) withalongrun and short run restrictions to identify the monetary policy shocks. The results from the SVECM are consistent with the standard theoretical expectationsi.e. free from empirical puzzles.The findings have revealed that the tradebalance deteriorates to the contractionary monetary policy shocks, providing support to the expenditure switching effects of monetary policy in Pakistan. Furthermore, the effectiveness of monetarypolicyis only limited to trade surplus sectors.On the other hand, the exchange rateshocks do not support the J-Curve effects on both the aggregate as well as disaggregate level trade balance.

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