Моделирование правила денежно-кредитной политики ЦБ РФ с использованием индекса финансового стресса

Abstract

The purpose of our work is to find out such a principle for Central Bank of Russia monetary policy which gives an opportunity to describe this policy in crisis period accurately. The standard Taylor rule is examined within the sample, which includes the period from 2003 to 2015. The instance of the rule is estimated for noncrisis and crisis periods. It is proved, that the rule under examination doesn't work in crisis period. In this paper the model is constructed on the basis of autoregression methodology with smooth transmition of the state of the economy mode switching. This model including the index of financial stress developed by the authors suits for description of Central Bank of Russia monetary policy more, as well as for the crisis period. The significant difference between the Central Bank policies in crisis and noncrisis period is shown. The paper suggests the modified Taylor rule which describes the Central Bank policy in crisis period in the best way on the basis of econometric modelling. The index of financial stress for the Central Bank and its threshold values are developed.