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Heterogeneous Effects of Monetary Policy on Regional Inflation in Russia: GVAR Approach

Student: Vadim Napalkov

Supervisor: Andrey G. Shulgin

Faculty: Faculty of Economics

Educational Programme: Economics (Master)

Year of Graduation: 2020

This work provides an empirical assessment of the regional effects of monetary policy in Russia. The aim of the study is to model, measure, and explain the heterogeneous effects of monetary policy on regional inflation of 80 Russian regions over the period 2004 to 2020. We estimate a Global VAR (GVAR) model which explicitly takes into account regional macroeconomic dynamics and nation-wide factors as well as spatial spillovers. The results suggest the differential effects of an interest rate shock across Russian regions. Further analysis employs spatial models (SAR, SEM) and provides evidence for the importance of interest rate, broad credit, and exchange rate channels of monetary policy transmission. The regional operability of these channels along with spatial effects explains approximately 45% of regional inflation responses.

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