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This paper examines the effects of Russian foreign exchange and monetary policies under conditions of abundant natural resources during the period 1999–2011 using structural VAR models. The results suggest that monetary policy shocks, which are identified as money supply disturbances, have a persistent effect on real output, and more than half of the volatility in real output can be explained by changes in the money supply. Furthermore, the analysis reveals that stock prices are a more significant transmission channel of monetary policy than bank loans.

Russia is one of the largest oil producers in the world.1 The abundance of natural resources has enabled Russia to obtain large export revenues. However, foreign currency earnings have been a substantial pressure for ruble appreciation. What effects do foreign exchange and monetary policies have under the existence of plentiful natural resources? Although this aspect is significant for the analysis of policy effects, former studies have not explicitly examined this area. This paper measures the effects of foreign exchange and monetary policies on real output and financial markets in Russia. Since Sims (1980) initiated the recursive system of the structural vector autoregressive (VAR) model, many empirical studies have conducted analyses on the effect of a monetary policy shock on the basis of this method. While extensive research on Russian monetary policy has been conducted,2 there exists only a small body of VAR-based monetary policy literature on Russia. Starr (2005) examines the effects of monetary policy on the basis of a VAR model in Russia, Ukraine, Belarus, and Kazakhstan and finds that interest rates have a significant impact on output in Russia. Vymyatnina (2006) examines the nature of the money supply in 1995–2004 using a VAR model and clarifies two sources of endogeneity in Russian money supply: credit demand of the “new” sector of the economy and credit demand of old-type enterprises. Granville and Mallick (2010) analyze monetary policy during the period 1995–2009 using a vector error-correction model and claim that exchange rate changes have had a stronger impact on inflation in the long run. This paper extends former studies and analyzes the effects of foreign exchange and monetary policies after the Russian financial crisis in 1998 with a VAR model, considering price changes of crude oil. This analysis also has considerable implications for the analysis of the relationship between financial development and economic growth. Ono (2012) claims that money supply leads economic growth while economic growth leads loans, which reflects the characteristics of the Russian economy. Oil price increases and the appreciation of the ruble increased the money supply in a situation where there were insufficient sterilization instruments, which, in turn, fostered economic growth. On the other hand, the Russian economic boom provided an incentive for banks to increase loans. This paper contributes to clarifying the influence of money supply changes on economic growth and transmission channels of monetary policies. The main findings of this paper are as follows. First, in almost all cases, a money supply shock has statistically significant positive impacts on real output. Second, the variance decomposition results suggest that the money supply explains more than half of the volatility in real output. Third, the historical decomposition results show that the money supply had a significant influence on the boom and bust of the Russian economy, whereas the interest rate, exchange rate, stock price and bank loan disturbances contributed to the changes of real output to a lesser extent. Fourth, stock prices are a more important transmission channel of Russian monetary policy than interest rates, the exchange rate and bank loans. The outline of this paper is as follows. Section 2 provides a brief history of the Russian financial system. Section 3 describes methodological issues and data sources, while Section 4 presents the empirical results of the benchmark model. Section 5 investigates alternative specifications. Section 6 confirms the robustness of the results. The last section concludes the paper

This paper examined the influence of foreign exchange and monetary policies on real output and financial markets during the period 1999–2011, using a structural VAR model. The impulse response analysis revealed that monetary policy shocks, which are identified as money supply disturbances, have a persistent effect on real output. On the other hand, the analysis of variance decomposition indicates that more than half of the volatility in real output can be explained by money supply M0 in each model and the contribution of interest rates, stock prices and bank loans was relatively low. Furthermore, the historical decomposition analysis suggests that money supply shocks explain a significant part of real output whereas interest rate disturbances contribute to a lesser extent to the changes of real output. The analysis regarding the transmission channels of monetary policy shows that stock prices are a more significant channel than bank loans in Russia. The findings of this paper indicate that the Russian economy is largely affected by the international oil price because high oil prices lead to an appreciation of the Russian ruble, which in turn leads to Central Bank intervention in the foreign exchange market and an increase of the money supply. The Russian government is now attempting to create an economy which is less dependent on natural resources. Future studies should address the question of whether the changes to the Russian industrial structure can change the effects of Russian monetary policy.