msueconВестник Московского университета. Серия 6. ЭкономикаLomonosov Economics Journal0130-0105MSUPRESS10.38050/01300105201612msuecon-334Research ArticleФИНАНСОВАЯ ЭКОНОМИКАFINANCIAL STUDIESЭКОНОМЕТРИЧЕСКАЯ ОЦЕНКА ВЛИЯНИЯ МОНЕТАРНОЙ ПОЛИТИКИ НА ДИНАМИКУ РОССИЙСКОГО ФОНДОВОГО РЫНКАECONOMETRIC ASSESSMENT OF MONETARY POLICY IMPACT ON THE DYNAMICS OF THE RUSSIAN STOCK MARKETКартаевФ. С.KartaevF. S.kartaev@gmail.comКозловаН. С.KozlovaN. S.nataliasergeevna21@gmail.comМГУ имени М. В. ЛомоносоваРоссия201607042021012243Copyright © Картаев Ф.С., Козлова Н.С., 20212021Картаев Ф.С., Козлова Н.С.Kartaev F.S., Kozlova N.S.This work is licensed under a Creative Commons Attribution 4.0 License.https://msuecon.elpub.ru/jour/article/view/334

На основе ежемесячных данных за 2005-2013 гг. при помощи аппарата структурных векторных авторегрессий в статье оценен характер и продолжительность воздействия шоков кредитно-денежной политики Банка России на динамику доходностей российских фондовых индексов. Рассмотрен широкий спектр переменных, характеризующих монетарную политику: ключевая ставка процента, денежные агрегаты, ставка рефинансирования и ставка по межбанковским кредитам.

The article provides the analysis of the impact of monetary policy shock generated by the Bank of Russia on the Russian stock market yield dynamics. We have estimated the features and duration of the effect using SVAR models and monthly data for the period from 2005 to 2013. We examine a wide range of proxies for the monetary conditions: the key interest rate, monetary aggregate M2, the refinancing rate and the interbank lending rate.

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The authors declare that there are no conflicts of interest present.