Научный семинар Международной лаборатории макроэкономического анализа/ Research Seminar of International Laboratory for Macroeconomic Analysis: Andrei Shulgin - Sterilized Interventions in Russia: Effectiveness, Modeling and Rules

International Laboratory for Macroeconomic Analysis of the Faculty of Economic Sciences invites everyone to join our research seminar on the 29th of May 2018 (Tuesday) at 5 PM.

Speaker: Andrei Shulgin (International Laboratory for Macroeconomic Analysis) 

Title: Sterilized Interventions in Russia: Effectiveness, Modeling and Rules 

Venue: Shabolovka 26, building  room 1302

Abstract:

In my presentation I discuss different aspects of sterilized interventions analysis on the base of Russian case of 2014-2017. The first, I present simple general equilibrium macro model suitable for analyzing of daily exchange rate dynamics. The model includes imperfect capital market block, which allow introducing the channel for sterilized intervention. I estimate the model on the base of Russian monetary statistics and compare resulting response of exchange rate on intervention policy shock with analogous IRF from the estimated on the same dataset VECM.

The second, I present empirical analysis of sterilized intervention effectiveness on the base of Russian data of 2014-2017. I use the statistics of FX repo auctions and check for statistically significant response of exchange rate on intervention policy shock. Results confirm effectiveness of this instrument in the period of financial sanctions. Case study analysis shows that the contribution of sterilized interventions in exchange rate dynamics in the period of high volatility of 2014-2015 was rather high: this instrument contributed up to 10% of ruble appreciation at the end of 2014.

 If you need to order a pass to the building, please, contact Tatyana Bushina (tbushina@hse.ru)

We look forward to seeing you.