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Does the Inflation Targeting Policy or the Structure of Shocks Matter for the Extent of the Exchange Rate Pass-through?

Student: Maria Fedulova

Supervisor: Oxana A. Malakhovskaya

Faculty: Faculty of Economic Sciences

Educational Programme: Applied Economics (Master)

Year of Graduation: 2020

Na osnove teoreticheskoy modeli dinamicheskogo stokhasticheskogo obshchego ravnovesiya (DSGE), kotoraya ispol'zuyetsya, chtoby ubedit'sya v pravil'nosti nakladyvayemykh ogranicheniy, i ekonometricheskoy strukturnoy bayyesovskoy vektornoy avtoregressii (BVAR) dannaya rabota pokazyvayet v razreze maloy otkrytoy ekonomiki, chto vliyaniye izmeneniy obmennogo kursa na izmeneniya potrebitel'skikh i importnykh tsen zavisit ot togo, kakoy shok vyzval izmeneniye obmennogo kursa, otdel'no rassmatrivaya periody do i posle prinyatiya inflyatsionnogo targetirovaniya, i otvechayet na vopros, menyayetsya li pri inflyatsionnom targetirovanii struktura shokov, chto svyazano denezhno-kreditnym resheniyem o tom, stoit li togda s tsel'yu snizheniya effekta perenosa perekhodit' k inflyatsionnomu targetirovaniyu ili sdelat' aktsent na uchote strukturnykh peremennykh. Развернуть 797/5000 Based on the theoretical model of dynamic stochastic general equilibrium (DSGE), which is used to verify the correctness of the imposed restrictions, and econometric structural Bayesian vector autoregression (BVAR), this work shows in the context of a small open economy that the effect of exchange rate changes on changes in consumer and import prices (ERPT) depends on the shock caused by the exchange rate change, separately considering the periods before and after the adoption of inflation targeting, and answers the question whether inflation targeting changes the structure of shocks, which is connected with the monetary decision about whether it is worthwhile to reduce pass-through to move to inflation targeting or focus on accounting for structural variables.

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