Template-type: ReDIF-Article 1.0
Author-Name: Andrei Shevelev
Author-Email: andrew.shevelev@gmail.com
Author-Workplace-Name: Bank of Russia
Author-Name: Maria Kvaktun
Author-Email: marya-kvaktun@yandex.ru
Author-Workplace-Name: Bank of Russia
Author-Name: Kristina Virovets
Author-Email: kristi.prof@mail.ru
Author-Workplace-Name: Bank of Russia
Title: Effect of Monetary Policy on Investment in Russian Regions
Abstract: 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.
Classification-JEL: C3, E43, E52, E22
Keywords: monetary policy, investment, interbank market rate, transmission mechanism, structural vector autoregression, impulse response functions, Elastic Net, panel vector autoregression
Journal: Russian Journal of Money and Finance
Pages: 31-49
Volume: 80
Issue: 4
Year: 2021
Month: December
DOI: 10.31477/rjmf.202104.31
File-URL: https://rjmf.econs.online/upload/iblock/924/Effect-of-Monetary-Policy-on-Investment-in-Russian-Regions.pdf
Handle: RePEc:bkr:journl:v:80:y:2021:i:4:p:31-49