Template-Type: ReDIF-Paper 1.0



Author-Name: Vladislav Abramov

Author-Email: abramovvv01@cbr.ru

Author-Workplace-Name: Bank of Russia, Russian Federation





Title: Spillover Effects of Russian Monetary Policy Shocks on the Eurasian Economic Union 

Abstract: Russian monetary policy could translate on the countries of Eurasian Economic Union (EAEU)

through different channels. However, there is still a lack of evidence of the significance of so

called spillover effects of Russian monetary policy. This work investigates the influence of

Russian monetary policy shocks, proxied by shocks of MIACR, on the EAEU countries. For

that purpose, firstly, monetary policy shocks were identified via FAVAR model for the Russian

economy, estimated on the monthly data of more than 50 indicators. Further, separately for

each country of the union VAR models with previously extracted MP shocks were estimated

and both impulse response functions (IRF) and forecast error variance decomposition (FEVD)

were analysed. The main result of the work is that effects of shocks in MIACR on industrial

production and inflation are not statistically significant. At the same time, such shocks have

statistically significant effect on money supply, nominal exchange rates and money market

rates in some union’s countries. However, obtained effects are mostly small and

heterogeneous.






Length: 40 pages

Creation-Date: 2020-07

Revision-Date:

Publication-Status:

File-URL: https://www.cbr.ru/Content/Document/File/111793/wp-60_e.pdf

File-Format: Application/pdf

File-Function:

Number: wps60

Classification-JEL: E52, E58, E59

Keywords:  Transmission effects, monetary policy, Eurasian economic union

Handle:RePEc:bkr:wpaper:wps60