Econometric Model of the Impact of the Interest Rate on the Economic Development

Yuzvovich, L.; Bashkirova, N.; Ponkratov, V.; etc, E.R.

Авторы: Larisa Yuzvovich, Nadezhda Bashkirova, Vadim Ponkratov, Elena Razumovskaya etc
Журнал: INDUSTRIAL ENGINEERING AND MANAGEMENT SYSTEMS
Том: 19
Номер: 1
Год издания: 2020
Первая страница: 254
Последняя страница: 265
DOI: 10.7232/iems.2020.19.1.254
Аннотация: In the context of the implementation of the inflation targeting policy in the Russian Federation (RF), undertaking a comprehensive study of the transmission mechanism and its consequences for the economy is becoming increasingly relevant. Against this backdrop, the purpose of the present study is to develop an econometric model for determining the correlation between the interest rate and economic growth in prevailing conditions of the Russian market. To that end, the authors used the Granger test in order to determine the causal relations between the indicators of economic development and the key rate level of Central Bank of the Russian Federation (CBR) from 2006 to 2018. There were determined to be dominant indicators which provide the transmission mechanism of the influence of the key rate on the actual GDP of the Russian Federation. A model of the key rate influence on the pace of economic growth was developed. For this purpose, the authors used the vector autoregression method by taking the interdependence between the national economy components into consideration. The findings of this study confirmed the positive character of the interaction of the CBR key rate and the country’s economic growth. An analysis of the econometric model contributed to the determination of changes in the nation’s economic activity indicators due to the changes occurring in the key rate of the Central Bank. The developed econometric model can be applied as a tool that helps monetary authorities to better understand the determining internal forces in the economy. Moreover, this model helps formulate monetary policy decisions, emit alternatives, and increase the element of consistency in debates about the transmission mechanism. Finally, the Central Bank can use this model to identify the objectives of the monetary policy.
Добавил в систему: Башкирова Надежда Николаевна

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