آیا در کشورهای مستقل مشترک المنافع پول مهم است ؟ بررسی اثرات سیاست پولی بر تولید و قیمت

In large industrial economies, changes in monetary policy affect real economic activity in the short run but only prices in the long run. In transition economies, the question of whether monetary-policy variables affect output in the short run is open. In this paper, we examine the real effects of monetary policy in Russia, Ukraine, Belarus, and Kazakhstan using time-series methods. We find mixed evidence that money matters in these countries, although the effects are greater in Russia. Hence, we conclude that activist monetary policy will have only a limited scope in these countries in the near term. Journal of Comparative Economics33 (3) (2005) 441–461.

In recent years, the benefits of shifting from traditional discretionary monetary policy to arrangements that favor commitment to price stability and international economic integration, e.g., inflation targeting, monetary unions, currency boards, or dollarization, have been discussed widely. An advantage of discretionary policy is that the monetary authority can use policy instruments to offset adverse shocks to output by pursuing expansionary policy when output is below its potential and contractionary policy when output is above its potential. For example, a policy-controlled interest rate can be lowered to reduce commercial interest rates and stimulate aggregate spending in the below-potential situation. In addition, the liquidity of the banking system can be increased in an attempt to increase bank lending and again stimulate spending. Alternatively, a monetary expansion that lowers the real exchange-rate may improve the competitiveness of the country's products in domestic and world markets and, thereby, boost demand for national output. In principle, countercyclical monetary policy can also be practiced with inflation targeting, although such a policy must be flexible rather than strict, as Ghironi and Rebucci (2000) and Mishkin (2002) argue. However, non-traditional policy regimes limit the ability of the monetary authorities to use policy to offset output fluctuations. The extent to which a given country can use monetary policy to affect output in the short run is an open question. Consensus findings for the US indicate that a decline in the key interest rate controlled by the Federal Reserve tends to boost output over the next two to three years, but the effect dissipates thereafter so that the long-run effect is confined to prices only, as Christiano et al. (1999) report. Debates remain about precisely what factor or combination of factors account for this real effect, with the lead candidates being sticky prices, sticky wages, and imperfect competition.1 This evidence of real effects in a mature developed economy is supportive of the idea that monetary policy can be used to counter aggregate shocks. In other economies, the potential for using policy in this manner is less clear. In countries that have experienced high inflation or in which labor markets are chronically slack, prices and wages are unlikely to be particularly sticky so that monetary-policy changes may pass quickly through to prices and have little real effect, as Gagnon and Ihrig (2004) demonstrate. In addition, Barro and Gordon (1983) and Kydland and Prescott (1977) argue that, if monetary policy is not credible, the public's understanding of the government's incentives to enact monetary surprises undermines the scope for using such surprises to boost output and raises average inflation instead. Moreover, the globalization of financial markets may erode the ability of small, open economies to determine interest rates independently of world markets, which further undercuts the potential value of independent policy, as Dornbusch (2001) and Frankel et al. (2004) discuss. Several studies investigate whether the short-run effects of monetary policy on output in other countries are similar to those in the United States.2Hayo (1999) studies the money–output relation in seventeen industrialized countries using Granger-causality tests; he finds considerable variation in results across both countries and time periods and by model specification. In a study of twelve middle-income developing countries, Agenor et al. (2000) find no evidence of Granger-causality from money to output, regardless of the measure of money used, i.e., base money, M1 or M2. In a vector-autoregressive analysis of twenty mainly OECD countries, Hafer and Kutan (2002) find that interest rates generally play a relatively more important role than money in explaining output; however, their estimated effects differ significantly if the data are assumed to be trend, rather than difference, stationary. For ten countries in Central and Eastern Europe (CEE), Ganev et al. (2002) find no evidence that changes in the interest rate affect output, but find some indication that changes in the exchange rate do. This paper adds to the international evidence on the real effects of monetary policy by examining the post-stabilization experiences of four core CIS countries, namely Russia, Ukraine, Belarus, and Kazakhstan. For such transition economies that are not slated to join the European Union, understanding the extent to which policy can be used to affect output is important. To continue the re-establishment of conditions favoring growth, these countries must have monetary policy regimes that establish credibility, favor price stability, and facilitate international trade and capital flows. If policy variables can be used to affect output, maintaining some form of policy that preserves options for stimulating the economy when it is sluggish or cooling it down if it overheats is valuable. However, if monetary policy has no short-run effect on output, other policy regimes that entail stronger forms of commitment to price stability may be more attractive, e.g., strict inflation targeting, a monetary union, a currency board, or dollarization.3 The structure of this paper is as follows. Section 2 reviews the existing research on the effects of monetary policy in transition countries and discusses monetary factors of particular relevance to the core CIS countries. Section 3 develops and implements a strategy for estimating Granger effects of policy-related variables on output and prices in CIS countries, given that data on the post-stabilization period cover a relatively short span and that the orders of integration of the time series are uncertain. Section 4 presents impulse response functions showing dynamic effects of unexpected changes in policy-related variables. Section 5 concludes by collecting the results and discussing their policy implications.

In this paper, we find little evidence of real effects of monetary policy in four core CIS countries, namely Russia, Ukraine, Kazakhstan and Belarus, with the notable exception that interest rates have a significant impact on output in Russia. However, monetary-policy variables do explain fluctuations in prices in all countries. Broadly speaking, these findings confirm expectations that the real effects of monetary policy are likely to be relatively modest in these countries because prices and wages are relatively flexible, monetization is low, credit markets are thin, and domestic interest rates cannot be determined independently of world capital markets. However, there are notable differences across the four countries. The results for Russia resemble those for the US and some other advanced economies, in that adjustments in the key interest rate controlled by the central bank have significant effects on output.23 This result is consistent with expectations that monetary policy is more influential in a large, relatively closed economy than in small, relatively open ones. Nonetheless, estimated effects are immediate and fleeting in Russia, rather than occurring gradually over 9 to 12 months as in the US. Hence, the dynamics of the process in Russia are not explained in the usual way, i.e., increased costs of credit reduce interest-sensitive components of spending marginally and lead to a gradual slowdown in economic growth. Instead, the Russian dynamics capture the major fluctuation in the post-stabilization period, i.e., the financial crisis, during which increases in interest rates and exchange-rate depreciations were used to eliminate the excess demand for foreign exchange and were accompanied by real contraction. This highlights the importance of Russia maintaining an independent monetary policy, not so much to fine-tune frequent shocks to output and prices, but as a safety valve for dealing with sudden shifts in underlying conditions. Given that Russia is considered to be an emerging market economy, intermittent turbulence in financial markets and risks of sudden cessations of capital flows are likely to be inescapable facets of the growth trajectory, as Kaminsky et al. (2004) argue. Hence, retaining the flexibility that independent policy provides is critical to Russian policymakers, especially in the event of a need for an emergency response. In contrast, we find little evidence that monetary policy has any real effect in Ukraine, Kazakhstan and Belarus, which is consistent with the hypothesis that activist policy has limited scope in smaller, more open economies. Hence, the costs to these three countries of relinquishing discretionary, independent monetary policy in favor of high-credibility policy regimes, e.g., strict inflation targeting, a currency board, monetary union, or currency adoption, is not particularly large.