ECONOMETRIC ASSESSMENT OF MONETARY POLICY IMPACT ON THE DYNAMICS OF THE RUSSIAN STOCK MARKET
https://doi.org/10.38050/01300105201612
Abstract
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.
About the Authors
F. S. Kartaev
МГУ имени М. В. Ломоносова
Russian Federation
Russian Federation
N. S. Kozlova
МГУ имени М. В. Ломоносова
Russian Federation
Russian Federation
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Review
For citations:
Kartaev F.S., Kozlova N.S. ECONOMETRIC ASSESSMENT OF MONETARY POLICY IMPACT ON THE DYNAMICS OF THE RUSSIAN STOCK MARKET. Moscow University Economics Bulletin. 2016;(1):22-43. (In Russ.) https://doi.org/10.38050/01300105201612
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