Template-Type: ReDIF-Paper 1.0
Author-Name: Anna Kruglova
Author-Email:
Author-Workplace-Name: University of Washington (Bank of Russia at the time of participating in this study)

Author-Name: Konstantin Styrin
Author-Email: styrinka@cbr.ru
Author-Workplace-Name: Bank of Russia, Russian Federation

Author-Name: Yulia Ushakova
Author-Email: ushakovayuv@cbr.ru
Author-Workplace-Name: Bank of Russia, Russian Federation




Title: Transmission of foreign monetary shocks to a small open economy under structural instability: the case of Russia

Abstract: This paper studies the transmission of monetary policy shocks in the U.S. to a small open economy by estimating their 
effect on lending based on bank-level balance sheet data of Russian banks for 2000-2018. To identify the causal effect at the 
bank level we exploit heterogeneity across banks in terms of their reliance on cross-border funding. We find evidence that the 
effect of U.S. monetary policy shocks has been statistically and economically significant. Surprisingly, the magnitude of the effect 
remained roughly the same even after the monetary policy in Russia transited from exchange rate to inflation targeting. This finding 
suggests that a free floating regime does not attenuate the effect of foreign monetary policy shocks on domestic lending.




Length: 49 pages
Creation-Date: 2018-12
Revision-Date:
Publication-Status:
File-URL: http://cbr.ru/Content/Document/File/87592/wp38_e.pdf
File-Format: Application/pdf
File-Function:
Number:wps38
Classification-JEL: E52, F34, G21.
Keywords: monetary policy, international spillovers, cross-border transmission
Handle:RePEc:bkr:wpaper:wps38