سیاست پولی در روسیه: شناسایی شوک های نرخ ارز

Russian monetary policy has failed persistently to achieve sustained low inflation, both in absolute terms and relative to the peer group of countries similarly exiting from Soviet-style central planning. This paper explores the reasons for this state of affairs by analysing the kind of monetary policy that has been pursued by the central bank during the period 1995 to 2009. Our contribution is to search for a possible transmission channel between the real interest rate, inflation rate, exchange rate, output growth and foreign reserve growth, after having controlled for the effect of oil price inflation. Using a vector autoregressive model in error-correction form and using sign restrictions methodology, we show that the monetary authorities’ failure to abate double-digit inflation appears to be driven by the policy of exchange rate targeting, as reflected in our identified exchange rate shocks.

In recent years, for most central banks around the world, monetary policy – whether expressed in terms of interest rates or growth of monetary aggregates – has been increasingly geared towards the achievement of price stability and low inflation. Very high or hyperinflation seems to have disappeared, at least since the mid 1990s. Average inflation in developing countries (including many countries of Eastern Europe and Latin America with histories of high inflation) has declined from triple-digit figures in the late 1980s to low single-digit figures by the end of 2001 (Domaç and Yücel, 2005). Wynne and Kersting (2007: 2) report that inflation in the last three decades has dropped dramatically, averaging just 5.8 percent in developing countries and 2 percent in industrial countries since 2000. It is in this context of a global environment where inflation outcomes have dramatically improved independent of the monetary framework for achieving price stability – that is, both in countries that have adopted inflation targets as well as in countries that have not (Ball and Sheridan, 2005) – that double-digit Russian inflation stands out. This has emerged particularly clearly since the global crash of 2008. Despite the deflationary global environment which took hold in the wake of that crash, Russian inflation declined relatively slowly from its 2008 peak of 14% for the CPI (with the PPI running at 30%) and 12 months into the crisis remained in double digits in annualized terms. Russia's inflation performance looks less poor, however, in comparison with more narrowly defined peer groups – whether regional (CIS countries) or structural (oil exporters), which in turn suggests some common roots of the monetary policy challenges discussed in this paper (see Fig. 1), and points to the persistence of the inflationary effects of the authorities’ chosen policy responses.This paper aims to identify the true strategy pursued by the Bank of Russia: targets are announced for both the exchange and the inflation rates (respectively, a managed float (Keller and Richardson, 2003) and a twelve-month CPI target) reflecting therefore a problematic mix (Vdovichenko and Voronina, 2006). These targets seem to be often missed with no consequence for the monetary authority. Stabilizing the exchange rate has become a major monetary policy goal in a number of CIS countries, namely Belarus, Kazakhstan, Russia and Ukraine, (Bauer and Herz, 2007). In the absence of well-developed financial markets (Kutan and Brada, 2000), capital inflows causes serious problems for domestic monetary policies. With rising capital inflows, the central bank is more likely to buy excess foreign exchange supply on the market, leading to monetary expansion and inflation. On the other hand, if the central bank does not intervene in the foreign exchange market, the result could be nominal appreciation of the local currency which may lead to deterioration of the current account combined with reduced profitability. At the same time, repatriated proceeds from the export of oil and gas are quite successfully sterilized by means of oil price-related variations in the marginal rates of taxes specific to the oil sector, the proceeds of which flow into the stabilization fund. Against this background, we search for a possible relation between the real interest rate, inflation rate, exchange rate, reserve growth, output growth (proxied by growth in industrial production) and oil prices to indicate what type of monetary policy has been followed by the Bank of Russia during the period 1995 to 2009. We test whether the real interest rate is reacting to policy driven exchange rate shocks. If this is the case, then it can be demonstrated that the monetary policy stance of the central bank has not been primarily designed for price stability. Our focus is informed by the argument that inflation persistence is shown to come from economic agents’ limited information about the central bank's policy objectives (Erceg and Levin, 2003). Thus in this paper, by imposing sign restrictions on impulse responses, we identify exchange rate shocks and then examine the impulse response functions. The structure of this paper is as follows. Section 2 gives a snapshot of the story of Russian inflation and derives an inflation equation. A monetary policy rule in an open economy is formulated in order to test empirically the reaction of the real interest rate to exchange rate changes, inflation, and output and reserve growth. Section 3 then presents the data, methodology and empirical results. Using both a vector error correction (VEC) and Uhlig (2005)'s ‘pure sign restriction’ modelling strategy, this paper suggests that the authorities have targeted the exchange rate – specifically, accumulating foreign reserves in an attempt to prevent nominal appreciation, but the net effect of what might be termed this weak rouble policy has become a rise in inflation. Section 4 concludes.

One of the primary targets of the Bank of Russia has been to maintain stability in the FX market, as the Central Bank is facing a different trade-off than is normally considered in the monetary policy literature dedicated to countries with developed financial markets. The Bank of Russia apparently believes that its long-term target is to reduce drastically its involvement in the rate-setting process on the foreign exchange market. This paper therefore investigated the relation between the interest rate, inflation, and exchange rates in Russia. In the long-run, we find that while inflation and exchange rate changes have significantly influenced the real interest rate, it is exchange rate changes rather than reserves and output growth which have had the stronger long-run impact on inflation. This is in contrast to studies including the period before 1995, where monetary aggregates were the key factor determining inflation as for example in Esanov, Merkl and Vinhas de Souza (2005). In addition, the finding that real interest rates react positively to inflation suggests that the ‘Fisher effect’ does not seem to hold in the long-run. For the Fisher effect to hold, the real interest rate should not change in response to changes in inflation, and, consequently the inflation rate can have a one-to-one positive effect on the nominal interest rate. This result further strengthens our finding that the exchange rate changes have been the driving forces behind interest rate determination, confirming that the central bank's policy objective was to prioritise resistance to exchange rate appreciation over price stability. Effective monetary policy should push down real interest rates; but the interest rate seems to respond more to exchange rate shocks than to inflation shocks, as stabilizing the exchange rate takes precedence over promoting price stability as a policy objective. Within a high oil price environment, the monetary authorities seem to have prioritised stabilizing the exchange rate in search of short run output gains over bringing down inflation. This explains in part why inflation has become entrenched at a relatively high level. The positive impact of the rise in oil prices can be dampened by the rouble appreciation – creating a tendency, as shown in the standard literature, to an inflation-output trade-off. This policy of balancing the inflation target with a contradictory exchange rate target seems futile, since the resulting higher inflation in any case drives up the real trade-weighted value of the currency, producing exactly the loss of competitiveness which, by managing the exchange rate, the authorities want to avoid. Therefore a pre-announced inflation target may work as a coordinator of expectations and thus generate a more stable inflation scenario.