• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

­­­Macroeconomic Policy and Business Cycles

Priority areas of development: economics
2013
The project has been carried out as part of the HSE Program of Fundamental Studies.

The project was implemented within the framework of the HSE Basic Research Program.

Research Object: Macroeconomic policy and macroeconomic relationships

Research Purpose: To conduct a complex analysis of the problems involved in constructing macroeconomic policy and modeling business cycles.

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 World Bank (http://databank.worldbank.org), OECD (http://www.oecd.org), the International Monetary Fund (http://www.imf.org/external/data.htm), and Bloomberg Professional (http://www.bloomberg.com/professional).

Research Results: We elaborate the DSGE model, make its Bayesian estimation for Russia for the period of 2001-2012, and compare different monetary policy rules. It is shown that the exchange rate targeting rule, with a floating exchange rate (in an economy with the Taylor rule) as a target, fits Russian data better than the Taylor Rule itself. Moreover, we indicate that the Central Bank can substantially neutralize small cost-push shocks under dynamic, inconsistent policy. We also propose a model that helps indicate new ways of using macroprudential tools for regulating such financial innovations as securitization and shadow banking, which can increase the effectiveness of macroprudential policy. In addition, we show that with an increase in the degree of capital outflow, it is optimal for the Central Bank to concern itself with a loss of international reserves and to set a high interest rate on its unsecured loans. Then we indicate that the monetary policy controlling a risky interest rate can mitigate default risks only when the upper limit on inflation is sufficiently high. In our project, we show that if the inequality in skills and incomes is high, then the majority supports a high barrier to entry. This result can explain the persistence of entry barriers in democracies. Moreover, we estimate the fiscal multiplier of production and utility-enhancing government expenditures in zero lower bound and positive interest rate cases.

Implementation of the Research Results: The estimated DSGE model can be used to conduct an optimal monetary policy in Russia, evaluate the efficiency of various monetary regimes, and analyse the Bank of Russia’s stabilization policy. The results can also be used to estimate the credibility level of a particular central bank. Moreover, the research's implications can explain deviations from the announced plan. Our results can be used to analyse the regulation on financial innovations that increases the efficiency of macroprudential policy. Our work suggests the design of a monetary policy with liquidity support for the banking system in case of capital outflow. Our findings also indicate the capabilities and boundaries of monetary policy aimed at mitigating default risks. Moreover, we estimate the impact of fiscal policy on macroeconomic equilibrium. Our results can serve as practical guidelines for designing the optimal macroeconomic policy for Russia, for both the short- and long-term.

International Partners:

Publications:


Veselov D. A. Redistribution and the political support of free entry policy in the Schumpeterian model with heterogenous agents / Centre d'Economie de la Sorbonne. Series cesdoc:13050 "Documents de travail du Centre d'Economie de la Sorbonne". 2013. No. 2013.50.
Малаховская О. А., Минабутдинов А. Р. Динамическая стохастическая модель общего равновесия для экспортоориентированной экономики / Высшая школа экономики. Серия WP12 "Научные доклады лаборатории макроэкономического анализа". 2013. № 4.
Sokolova A. Fiscal Limits and Monetary Policy: Default vs. Inflation / NRU Higher School of Economics. Series EC "Economics". 2013. No. 39.
Ushakov N. What is the role of higher wage flexibility of new hires for optimal monetary policy? / NRU Higher School of Economics. Series WP BRP "Economics/EC". 2013. No. WP BRP 44/EC/2013 .
Sokolova A. Evaluating the Hybrid Phillips Curve for Russia / NRU Higher School of Economics. Series WP12 "Научные доклады лаборатории макроэкономического анализа". 2013. No. 3.
Соколова А. В. Монетарная политика и фискальный стресс в монетарном союзе / Высшая школа экономики. Серия WP12 "Научные доклады лаборатории макроэкономического анализа". 2013. № 2.
Малаховская О. А. Валютная политика в странах с несовершенными финансовыми рынками в условиях негативных шоков платежного баланса. / Высшая школа экономики. Серия WP12 "Научные доклады лаборатории макроэкономического анализа". 2013. № 1.
Malakhovskaya O. A., Minabutdinov A. R. Are commodity price shocks important? A Bayesian estimation of a DSGE model for Russia / NRU Higher School of Economics. Series WP BRP "Economics/EC". 2013. No. WP BRP 48/EC/2013.