Влияние премии за риск на российские макроэкономические показатели

Abstract

In this study, we estimate the contribution of the risk premium shock to the dynamics of the main macroeconomic variables along with other shocks that are crucial for the Russian economy. The relevance of the discussion on risk premium is caused by the crisis of institutions in Russia and the introduction of economic sanctions. The low quality of institutions, in particular the protection of property rights and the judicial system, increases the risk premium and undermines investors’ interest in the Russian economy. The imposition of economic sanctions, especially against specific companies, also leads to some restrictions on operations and increases the risk premium. All this may result in losses in real macroeconomic indicators such as output and investment.The main tool used in this work is a structural vector autoregression model with an exo­genous variable. Using short-term restrictions, we identify 3 types of shocks: output shocks, investment shocks and risk premium shocks. To take into account terms of trade shocks, which play a key role for the Russian economy, we use the price of oil as an exogenous variable, as it is the main driving force for the terms of trade. In this case, the shocks of the risk premium, conditionally on other factors, characterise the institutional and political component. As an alternative exogenous variable, we use the index of global real economic activity, which is a proxy for the dynamics of world demand.As a result, it was discovered that the risk premium shocks had a significant positive effect on output and investment. The negative impact of these shocks in the dynamics of real variables was noticeable in crisis periods, including the period of economic sanctions. Howe­ver, the overall contribution was moderate. The main driving force behind the dynamics real variables were the terms of trade and output shocks. Also, in 2015, negative investment shocks played an important role.