外部冲击视角下俄罗斯货币政策偏离的影响因素

Factors behind Russia’s Monetary Policy Bias from the Perspective of External Impact

伴随全球一体化进程,外部冲击对新兴市场国家货币政策的影响越发显著,导致政策偏离既定目标。本文以俄罗斯为研究样本,运用前瞻性泰勒规则计算货币政策偏离度。结合政策实践选取指标,构建SVAR模型,量化各因素对货币政策偏离的影响程度。结果显示,汇率波动和资本流动变化是导致俄罗斯货币政策偏离的最直接因素,原油价格变动和美元存款占比变动影响相对较小。由此可得,汇率贬值和资本流出是外部冲击影响俄罗斯货币政策的两大表征,并且两者相互促进,造成金融市场动荡和风险放大。最后,基于俄罗斯经验提出对新兴市场国家货币政策制定的借鉴。

With the development of globalization,the increasingly considerable external impact on monetary policies of emerging economies often results in policy biases.This paper calculates Russia’s monetary policy bias adopting forwarding-looking Taylor’s rules and quantifying the impact from the relevant factors by establishing an SVAR model with indexes selected from policy practices.The result of the study indicates that the change in exchange rate volatility and capital flows are fundamental factors behind the policy bias while the change in crude oil and US dollar deposit is the minor factor.Apart from the above conclusion,Ruble depreciation and capital outflows are two major explanatory variables among external factors impacting Russia’s monetary policy and these two variables may destabilize financial markets and magnify risks as one variable can increase the value of the other.This paper also forwarded advices to monetary policies of emerging economies on basis of the Russian experiences.