Анализ подходов к учету информационных эффектов денежно-кредитной политики
(Analysis of Approaches to Accounting of the Information Effects of Monetary Policy)

105 Pages Posted: 8 Apr 2017  

Pavel Trunin

Gaidar Institute for Economic Policy

Alexandra Bozhechkova

Gaidar Institute for Economic Policy; Russian Presidential Academy of National Economy and Public Administration (RANEPA) - Institute of Applied Economic Research

Eugene Goryunov

Gaidar Institute for Economic Policy

Diana Petrova

Russian Presidential Academy of National Economy and Public Administration (RANEPA), Moscow Campus, Institute of Applied Economic Research, Students

Date Written: April 4, 2017

Abstract

Russian Abstract: Данная работа посвящена изучению информационных аспектов
денежно-кредитной политики и анализу влияния информационных сигналов центральных банков на повеление экономических агентов. В первой части работы представлены основные теоретические подходы, учитывающие информационные сигналы центральных банков в условиях информационной асимметрии, в т.ч. рассмотрены вопросы динамической несостоятельности и ключевые механизмы ее решения, каналы влияния транспарентности принимаемых ЦБ решений на поведение экономических агентов, проблема вытеснения частной информации при излишней транспарентности. Во второй части исследования помимо обзора зарубежной эмпирической литературы авторами проведены эконометрические расчеты по влиянию коммуникационных сигналов Банка России на показатели денежного, валютного и фондового рынков. Выявлена значимая реакция данных показателей и их волатильности на сигналы об ожидаемом ужесточении, смягчении и неизменности монетарной политики регулятора, что свидетельствует о частичной эффективности информационной политики Банка России.

English Abstract: In this paper we study informational aspects of monetary policy and the impact of information signals of central banks on economic agents behavior. In the first section we present main theoretical frameworks which take into account the information signals of the central banks in conditions of asymmetric information, including the issue of dynamic inconsistency and key mechanisms of its solutions, channels of influence of Central Bank transparency on decisions of economic agents, the problem of displacement of private information with excessive transparency. In the second section we make a review of the empirical literature and conduct econometric calculations on the effect of Bank of Russia communication signals on the performance of monetary, foreign exchange and stock markets. We found a significant reaction of those markets’ indicators and its’ volatility on signals about expected tightening, softening and immutability of monetary policy. Our results indicate that the informational policy of Bank of Russia is partially effective.

Note: Downloadable document is in Russian.

Suggested Citation

Trunin, Pavel and Bozhechkova, Alexandra and Goryunov, Eugene and Petrova, Diana, Анализ подходов к учету информационных эффектов денежно-кредитной политики (Analysis of Approaches to Accounting of the Information Effects of Monetary Policy) (April 4, 2017). Available at SSRN: https://ssrn.com/abstract=2946060 or http://dx.doi.org/10.2139/ssrn.2946060

Pavel Trunin (Contact Author)

Gaidar Institute for Economic Policy ( email )

Gazetny pereulok, 3-5
Moscow, 125993
Russia

Alexandra Bozhechkova

Gaidar Institute for Economic Policy ( email )

Gazetny pereylok 3-5
Moscow, 125993
Russia

Russian Presidential Academy of National Economy and Public Administration (RANEPA) - Institute of Applied Economic Research ( email )

Russia

Eugene Goryunov

Gaidar Institute for Economic Policy ( email )

Gazetny per., 3-5
Moscow, 125993
Russia

Diana Petrova

Russian Presidential Academy of National Economy and Public Administration (RANEPA), Moscow Campus, Institute of Applied Economic Research, Students ( email )

Moscow
Russia

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