Analysis of the Financial Strategy of the Bank of Russia in Terms of the Effect of Bank Rate (Key Interest Rate) on the Russian Macroeconomy

Aim. This study aims to analyze the financial strategy of the Bank of Russia in terms of the quantitative effect of bank rate (key interest rate) on the Russian economy based on econometric modeling. The conclusions obtained can be used to optimize the financial strategy of the central bank in terms of key interest rate and its effect on the Russian economy. Materials and methods. This study introduces a computer technology for the creation and evaluation of simultaneous equations according to the basic indicators of the Russian macroeconomy and key interest rate using the econometric software package Stata. The analysis is based on the official quarterly data provided by government statistics and the Bank of Russia from the fourth quarter of 1994 to the fourth quarter of 2014 (81 quarters), which allows a quantitative assessment of the financial strategy of the central bank. Results. Analysis of the quantitative effect of bank rate (key interest rate) on the Russian economy using econometric modeling, i. e., evaluation of simultaneous equations according to the basic indicators of the Russian macroeconomy and key interest rate, reveals that this effect is far from optimal. For example, the effect of the average weighted quarterly bank rate (key interest rate) from the fourth quarter of 2000 to the fourth quarter of 2014 results in a lower average quarterly contribution to the aggregate income of the population. The population loses an average of 26,991 billion rubles at 2014 values quarterly, which decreases consumption and GDP. Meanwhile, the negative effect of the bank rate on the chain index is minimal.

цепной и базовый индекс, сопоставимые цены, слабая стационарность временного ряда, единичный корень и расширенный тест Дики-Фуллера на наличие единичного корня, логарифмически-логарифмическое уравнение регрессии, коэффициент эластичности, система одновременных уравнений, эндогенные и экзогенные переменные, инструментальные переменные, chain and reference index, comparable prices, low temporal homogeneity, unit root and augmented Dickey-Fuller test, logarithmic-logarithmic regression equation, elasticity coefficient, simultaneous equations, endogenous and exogenous variables, instrumental variables

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