The project was implemented within the framework of the HSE Basic research program.
1. Research object:macroeconomic policy and macroeconomic relationships.
2. Research purpose: elaboration of methods of macroeconomic analysis which are appropriate for designing fiscal and monetary policies in a resource economy in both the short and long term.
3. Empirical base of the research: databases of the Federal State Statistics Service (http://www.gks.ru), the Central Bank of the Russian Federation (http://www.сbr.ru), the International Monetary Fund (http://elibrary-data.imf.org/).
4. Research results:We elaborated the DSGE model, which considers the specifiic characteristics of a resource-based economy, and evaluated the model for the Russian economy. We analyzed the effect of different shocks (including oil price shocks) and make conclusions about the main sources of business cycles in Russia. We also estimated the demand function for narrow money aggregate M1 in Russia for 2003-2012. We investigated the consequences of liquidity support, provided by the Bank of Russia under capital outflow in 2008-2009. We also studied the effect that fiscal stress has on the macroeconomic dynamics in the Eurozone and found that in the presence of fiscal limitations, aggressive Taylor-rule based inflation targeting does not necessarily ensure low inflation. We show that a common Bayesian criterion is not appropriate for conducting the optimal robust policy under uncertainty about social loss function. Instead we propose an alternative criterion based on a fault tolerance approach. Moreover, we show that the “brain gain” effect is possible under two conditions: if the possibility of being employed in the host region is relatively low and if the possibility of being employed in the skilled sector of source region is relatively high, so the poorest regions cannot benefit from “brain drain”.
5. Implementation of the research results:The results of our project can be used in both academic research as well as for finer formulation of macroeconomic policy. Specifically, the estimated DSGE model can be used for the evaluation of the effectiveness of various monetary regimes for Russia and searching for the optimal monetary policy rule for the Bank of Russia. The new modified criterion of robust monetary policy can be employed for a number of problems concerning the optimal policy elaboration under uncertainty about the social loss function. The results of our project can be used as practical guidelines for designing the optimal macroeconomic policy in Russia in the short and long term.
6. International partners:
- Roel Beetsma, Ph.D., professor, University of Amsterdamhttp://www1.fee.uva.nl/toe/beetsma.shtm
- Hubert Kempf, Ph.D., professor, University Paris-1 (Pantheon-Sorbonne)http://ces.univ-paris1.fr/membre/Kempf/images/TMPmts7254bat.htm
- Antoine D'Autume, Ph.D., professor, University Paris-1 (Pantheon-Sorbonne)http://ces.univ-paris1.fr/membre/dautume/dautume.htm
- Jean-Pierre Drugeon, professor, University Paris-1 (Pantheon-Sorbonne)http://www.parisschoolofeconomics.eu/en/drugeon-jean-pierre/
- Eleni Iliopulos, professor, University Paris-1 (Pantheon-Sorbonne)http://eleni.iliopulos.free.fr/
- Bertrand Wigniolle, professor, University Paris-1 (Pantheon-Sorbonne)http://www.parisschoolofeconomics.eu/en/wigniolle-bertrand/