Для цитирования:
Солодовников, С. В., Болячин, Ю. В. (2023). Классификация модельного аппарата влияния монетарной политики на динамику макропоказателей. AlterEconomics, 20(2), 437–462. https://doi.org/10.31063/AlterEconomics/2023.20-2.8
Аннотация:
В настоящее время все большее число экономистов, исследователей и политиков задумываются над проблемами экономического роста и связанных с ним факторов. Инвестиции выступают одним из наиболее эффективных драйверов экономического роста. Схожие меры по стимулированию инвестиционной активности могут оказать различное воздействие на экономику государства или его субъектов. Выявление факторов, порождающих такие различия, является целью экономических исследований на протяжении многих десятилетий. Особое внимание заслужила тема неоднородности влияния монетарной политики, проводимой Центральными банками, на различные макропоказатели национальной экономики. Проведенный литературный обзор зарубежных и отечественных научных работ с середины XX века по настоящее время позволил выявить эволюцию методов исследования оценки влияния монетарной политики на инвестиции и некоторые другие макропоказатели. Методы, применяемые в первых исследованиях, могли лишь идентифицировать наличие или отсутствие территориальной неоднородности, но не определяли факторы этой неоднородности. Расширение области и целей исследований предполагало совершенствование моделей, включение новых переменных и взаимосвязей внутри объектов. С учетом проведенного анализа выявлено, что наиболее подходящим методом оценки влияния монетарной политики на динамику региональных инвестиций на текущем этапе, можно считать модели векторных авторегрессий (VAR-модели) и их дополнения. Сформированы предположения о дальнейших этапах развития модельного аппарата по учету региональной неоднородности. Во-первых, необходимо улучшить спецификации эконометрических моделей с учетом включения дополнительных переменных. Во-вторых, совершенствовать методики оценки взаимного влияния пространственного взаимодействия субъектов на шоки монетарной политики.
Солодовников Сергей Владимирович — главный экономист, Отделение по Красноярскому краю Сибирского главного управления Центрального Банка Российской Федерации; https://orcid.org/0000-0003-0082-9807 (Российская Федерация, 660049, Красноярский край, г. о. г. Красноярск, г. Красноярск, ул. Дубровинского, 70; e-mail: solod_2005@mail.ru).
Болячин Юрий Витальевич — главный экономист, Отделение по Красноярскому краю Сибирского главного управления Центрального Банка Российской Федерации; https://orcid.org/0000-0002-6665-3368 (Российская Федерация, 660049, Красноярский край, г. о. г. Красноярск, г. Красноярск, ул. Дубровинского, 70; e-mail: bolyachinyury@gmail.com).
Власов, С. А., Синяков, А. А. (2020). Эффективность государственных инвестиций и выводы для денежно-кредитной политики в России. Вопросы экономики, 9, 22–39. https://doi.org/10.32609/0042-8736-2020-9-22-39
Крепцев, Д., Селезнев, С. (2016). Влияние ставок денежного рынка на ставки по кредитам конечным заемщикам. Банк России. Серия докладов об экономических исследованиях, 9, 1–42.
Напалков, В., Новак, А., Шульгин, А. (2021). Различия в эффектах единой денежно-кредитной политики: случай регионов России. Деньги и кредит, 80(1), 3–45. https://doi.org/10.31477/rjmf.202101.03
Шоломицкая, Е. В. (2017). Влияние ключевых макроэкономических шоков на инвестиции в России. Экономический журнал ВШЭ, 21(1), 89–113.
Шевелев, А., Квактун, М., Вировец, К. (2021). Влияние денежно-кредитной политики на инвестиции в регионах России. Деньги и кредит, 80(4), 31–49. https://doi.org/10.31477/rjmf.202104.31
Aginta, H., Someya, M. (2022). Regional Economic Structure and Heterogeneous Effects of Monetary Policy: Evidence from Indonesian Provinces. Journal of Economic Structures, 11, 1. https://doi.org/10.1186/s40008-021-00260-6
Ahmadi, P. A., Uhlig, H. (2009). Measuring the Dynamic Effects of Monetary Policy Shocks: a Bayesian FAVAR Approach with Sign Restrictions. University of Chicago.
Ahmadi, P. A., Uhlig, H. (2015). Sign Restrictions in Bayesian FAVARs with an Application to Monetary Policy Shocks. National Bureau of Economic Research, 21738, 1–96.
Alam, T., Waheed, M. (2006). Sectoral effects of monetary policy: Evidence from Pakistan. The Pakistan Development Review, 45(4), 1103–1115.
Anaya, P., Hachula, M., Offermanns, C. J. (2017). Spillovers of U.S. Unconventional Monetary Policy to Emerging Markets: The Role of Capital Flows. Journal of International Money and Finance, 73(B), 275–295. https://doi.org/10.1016/j.jimonfin.2017.02.008
Arias, J. E., Caldara, D., Rubio-Ramirez, J. F. (2018). The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure. Federal Reserve Bank of Atlanta, Working Paper Series, 15a, 1–28.
Arnold, I., Vrugt, E. (2002). Regional Effects of Monetary Policy in the Netherlands. International Journal of Business and Economics, 1(2), 123–134.
Balke, N. S. (2000). Credit and Economic Activity: Credit Regimes and Nonlinear Propagation of Shocks. The Review of Economics and Statistics, 82(2), 344–349.
Barran, F., Coudert, V., Mojon, B. (1996). The Transmission of Monetary Policy in European Countries. CEPII Working Paper, 96–03, 1–41.
Baumeister, Ch., Hamilton, J. D. (2014). Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information. NBER Working Papers, 20741.
Beare, J. B. (1976). A Monetarist Model of Regional Business Cycles. Journal of Regional Science, 16(1), 57–64. https://doi.org/10.1111/j.1467-9787.1976.tb00947.x
Bertanha, M., Haddad, M. A. (2008). Efeitos regionais da política monetéria no Brasil: Impactos e transbordamentos espaciais. Revista Brasileira de Economia, 62(1), 3–29.
Belviso, F., Milani, F. (2006). Structural Factor-Augmented VARs (SFAVARs) and the Effects of Monetary Policy. Topics in Macroeconomics, 6(3). https://doi.org/10.2202/1534-5998.1443
Bernanke, B. S., Boivin, J., Eliasz, P. (2005). Measuring the Effects of Monetary policy: a Factor-Augmented Vector Autoregressive (FAVAR) Approach. The Quarterly Journal of Economics, 120(1), 387–422.
Blanchard, O., Simon, J. (2001). The Long and Large Decline in U.S. Output Volatility. Brookings Papers on Economic Activity, 1, 135–164.
Blanco, E., Elosegui, P., Izaguirre, A., Montes-Rojas, G. (2019). Regional and State Heterogeneity of Monetary Shocks in Argentina. The Journal of Economic Asymmetries, 20, 1–28.
Boschen, J. F., Mills, L. O. (1995). The Relation between Narrative and Money Market Indicators of Monetary Policy. Economic Inquiry, 33(1), 24–44. https://doi.org/10.1111/j.1465-7295.1995.tb01844.x
Britton, E., Whitley, J. (1997). Comparing the Monetary Transmission Mechanism in France, Germany, and the UK: Some Issues and Results. Bank of England Quarterly Bulletin, 1, 152–162.
Burriel, P., Galesi, A. (2016). Uncovering the Heterogeneous Effects of ECB Unconventional Monetary Policies Across Euro Area Countries. Banco de Espana Working Paper, 1631, 1–52.
Ca’Zorzi, M., Hahn, E., Sánchez, M. (2007). Exchange Rate Pass-through in Emerging Markets. ECB Working Paper, 739.
Carlino, G., DeFina, R. (1998). The Differential Regional Effects of Monetary Policy. Review of Economics and Statistics, 80(4), 572–587.
Carter, C. K., Kohn, P. (1994). On Gibbs Sampling for State Space Models. Biometrika, 81(3), 541–553. https://doi.org/10.1093/biomet/81.3.541
Chowdhury, A.R., Maclennan, D. (2014). Regional House Price Cycles in the UK, 1978–2012: a Markov Switching VAR. Journal of European Real Estate Research, 7(3), 345–366. https://doi.org/10.1108/JERER-02-2014-0014
Cogley, T. (2005). How Fast Can the New Economy Grow? A Bayesian Analysis of the Evolution of Trend Growth. Journal of Macroeconomics, 27(2), 179–207.
Cogley, T., Sargent, T. J. (2003). Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII. U.S. FRB Atlanta Working Paper, 25.
De Castro Fernández, F., Hernández de Cos, P. (2006). The economic effects of exogenous fiscal shocks in Spain: a SVAR approach. ECB working paper, 647.
Dekle, R., Hamada, K. (2015). Japanese Monetary Policy and International Spillovers. Journal of International Money and Finance, 52(C), 175–199. https://doi.org/10.1016/j.jimonfin.2014.11.018
Di Giacinto, V. (2003). Differential Regional Effects of Monetary Policy: A Geographical SVAR Approach. International Regional Science Review, 26(3), 313–341. https://doi.org/10.1177/0160017603253792
Dornbusch, R., Favero, C., Giavazzi, F. (1998). The Immediate Challenges for the European Central Bank. Economic Policy, 13(26), 16–64.
Dow, S. C., Rodriguez-Fuentes, C. J. (1997). Regional Finance: A Survey. Regional Studies, 31(9), 903–920. https://doi.org/10.1080/00343409750130029
Ellis, C., Mumtaz, H., Zabczyk, P. (2011). What Lies Beneath? A Time-Varying FAVAR Model for the UK Transmission Mechanism. Working Paper Series, 1320.
Enders, Z., Müller, G. J., Scholl, A. (2011). How Do Fiscal and Technology Shocks Affect Real Exchange Rates?: New Evidence for the United States. Journal of International Economics, 83(1), 53–69. https://doi.org/10.1016/j.jinteco.2010.08.005
Fatmawati, K. (2022). Gross Domestic Product: Financing & Investment Activities and State Expenditures. KINERJA: Jurnal Manajemen Organisasi dan Industri, 1(1), 11–18.
Fishkind, H. H. (1977). The Regional Impact of Monetary Policy: An Economic Simulation Study of Indiana 1958–1973. Journal of Regional Science, 17(1), 77–88. https://doi.org/10.1111/j.1467-9787.1977.tb00475.x
Fonseca M., Pereira P. (2014). Credit Shocks and Monetary Policy in Brazil: A Structural FAVAR Approach. SAO PAULO School of Economics. Working Paper Series, 358.
Ganelli, G., Tawk, N. (2019). Spillovers from Japan’s Unconventional Monetary Policy: A Global VAR Approach. Economic Modelling, 77, 147–163. https://doi.org/10.1016/j.econmod.2017.10.020
Garrison, C. B., Chang, H. S. (1979). The Effect of Monetary and Fiscal Policies on Regional Business Cycles. International Regional Science Review, 4(2), 167–180. https://doi.org/10.1177/016001767900400206
Gelman, A., Rubin, D. B. (1992). A Single Series from the Gibbs Sampler Provides a False Sense of Security. Bayesian statistics, 4(1), 625–631.
Geman, S., Geman, D. (1984). Stochastic Relaxation, Gibbs Distributions and the Bayesian Restoration of Images. IEEE Transactions on Pattern Analysis and Machine Intelligence, 6, 721–741. https://doi.org/10.1109/TPAMI.1984.4767596
Georgiadis, G. (2016). Determinants of global spillovers from US monetary policy. Journal of International Money and Finance, 67, 41–61. https://doi.org/10.1016/j.jimonfin.2015.06.010
Gerlach, S., Smets, F. (1995). The Monetary Transmission Mechanism: Evidence from the G-7 Countries. BIS Working Papers, 26.
Ghysels, E. (2012). Macroeconomics and the Reality of Mixed Frequency Data. Manuscript. University of North Carolina at Chapel Hill.
Ghysels, E., Sinko, A., Valkanov, R. (2007). MIDAS Regression: Further Results and New Directions. Econometric Reviews, 26(1), 53–90. https://doi.org/10.1080/07474930600972467
Gupta, R., Kabundi, A. (2010). The Effect of Monetary Policy on House Price Inflation: A factor Augmented Vector Autoregression (FAVAR) Approach. Journal of Economic Studies, 37(6), 616–626. https://doi.org/10.1108/01443581011086657
Holguín, J. S., Uribe, J. M. (2020). The Credit Supply Channel of Monetary Policy: Evidence from a FAVAR Model with Sign Restrictions. Empirical Economics, 59(5), 2443–2472. https://doi.org/10.1007/s00181-019-01759-5
Hubrich, K., Terasvirta, T. (2013). Thresholds and Smooth Transitions in Vector Autoregressive Models. CREATES Research Papers, 18.
Hubrich, K., Tetlow, R. J. (2012). Financial Stress and Economic Dynamics: The Transmission of Crises. The Federal Reserve Board Finance and Economic Discussion Series Working Paper, 82. http://dx.doi.org/10.2139/ssrn.2197514
Kieler, M., Saarenheim, T. (1998). Differences in monetary policy transmission? A case not closed. European Economy. Economic Papers 132, 44.
Korobilis, D. (2013). Assessing the Transmission of Monetary Policy Using Time-varying Parameter Dynamic Factor Models. Oxford Bulletin of Economics and Statistics, 75(2), 157–179. https://doi.org/10.1111/j.1468-0084.2011.00687.x
Laine, O. (2020). The Effect of the ECB’s Conventional Monetary Policy on the Real Economy: FAVAR-approach. Empirical Economics, 59(3), 2899–2924. https://doi.org/10.1007/s00181-019-01739-9
Mandalinci, Z. (2015). Effects of Monetary Policy Shocks on UK Regional Activity: A Constrained MFVAR Approach. Schools of Economics and Finance. Working Paper, 758, 1–16.
Martin, R. L., Oeppen, J. E. (1975). The Identification of Regional Forecasting Models Using Space: Time Correlation Functions. Transactions of the Institute of British Geographers, 66, 95–118. https://doi.org/10.2307/621623
Mathur, V. K., Stein, S. (1980). Regional Impact of Monetary and Fiscal Policy: An Investigation into the Reduced Form Approach. Journal of Regional Science, 20(3), 343–351. https://doi.org/10.1111/j.1467-9787.1980.tb00651.x
Mathur, V. K., Stein, S. (1982). The Regional Impact of Monetary and Fiscal Policy: Some Further Results. Papers of the Regional Science Association, 50, 67–74. https://doi.org/10.1007/BF01940113
Mathur, V. K., Stein, S. (1983). Regional impact of monetary and fiscal policy: a reply. Journal of Regional Science, 23(2), 263–265. https://doi.org/10.1111/j.1467-9787.1983.tb00802.x
Miller, R. J. (1978). The Regional Impact of the Monetary Policy in the United States. Lexington: Lexington Books, 155.
Molteni, F., Pappa, E. (2017). The Combination of Monetary and Fiscal Policy Shocks: a TVP-FAVAR Approach. EUI Working Paper MWP, 13, 1–48.
Mountford, A., Uhlig, H. (2009). What Are the Effects of Fiscal Policy Shocks? Journal of Applied Econometrics, 24(6), 960–992. https://doi.org/10.1002/jae.1079
Musthafa, M. T., Le, T., Suardi, S. (2023). Monetary Policy Transmission in Sri Lanka. Applied Economics, 1–18. https://doi.org/10.1080/00036846.2023.2166671
Nurliana, L., Wimanda, R. E., Satyanugraha, R. (2016). Evaluating Monetary Transmission Mechanism in Indonesia Using a Structural FAVAR Approach. Monetary Policy Transmission in the SEACEN Economies, 19–56.
Partridge, M. D., Rickman, D. S. (2009). Canadian Regional Labour Market Evolutions: A Long-Run Restrictions SVAR Analysis. Applied Economics, 41(15), 1855–1871. https://doi.org/10.1080/00036840601131789
Pesaran, M. H., Schuermann, T., Weiner, S. M. (2004). Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconomic Model. Journal of Business & Economic Statistics, 22(2), 129–162. https://doi.org/10.1198/073500104000000019
Petrović, P., Arsić, M., Nojković, A. (2021). Increasing Public Investment can be an Effective Policy in Bad Times: Evidence from Emerging EU Economies. Economic Modelling, 94, 580–597. https://doi.org/10.1016/j.econmod.2020.02.004
Pfeifer, P. E., Bodily, S. E. (1990). A Test of Space-Time ARMA Modelling and Forecasting of Hotel Data. Journal of Forecasting, 9(3), 255–272. https://doi.org/10.1002/FOR.3980090305
Primiceri, G. (2005). Time-Varying Structural Vector Autoregressions and Monetary Policy. Review of Econometric Studies, 72(3), 821–852.
Ramaswamy, R., Sloek, T. (1997). The Real Effects of Monetary Policy in the European Union: What Are the Differences. IMF Working Paper, 160, 1–25.
Roeger, W., in’t Veld, J. (1997). Quest II: A Multi-Country Business Cycle and Growth Model. European Economy. Economic Papers, 123, 1–51.
Schmidt, J. (2020). Risk, Asset Pricing and Monetary Policy Transmission in Europe: Evidence from a Threshold-VAR Approach. Journal of International Money and Finance, 109. https://doi.org/10.1016/j.jimonfin.2020.102235
Schorfheide, F., Song, D. (2013). Real-Time Forecasting with a Mixed-Frequency VAR. NBER Working Paper Series, 19712, 1–50.
Scott, I. O. (1955). The Regional Impact of Monetary Policy. Quarterly Journal of Economics, 69(2), 269–284. https://doi.org/10.2307/1882151
Simo-Kengne, B. D., Balcilar, M., Gupta, R., Reid, M., Aye, C. G. (2013). Is the Relationship between Monetary Policy and House Prices Asymmetric across Bull and Bear Markets in South Africa? Evidence from a Markov-Switching Vector Autoregressive Model. Economic Modelling, 32(C), 161–171. https://doi.org/10.1016/j.econmod.2013.02.006
Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.
Sims, C. A., Zha, T. (2005). Were There Regime Switches in U.S. Monetary Policy? CEPS Working Paper, 110, 1–49.
Smets, F. (1995). Central bank macroeconomic models and the monetary policy transmission mechanism. Financial structure and the monetary policy transmission mechanism (pp. 225–267). Bank for International Settlements.
Stock, J. H., Watson, M. (2002). Macroeconomic Forecasting Using Diffusion Indexes. Journal of Business & Economics Statistics, 20(2), 147–162. https://doi.org/10.1198/073500102317351921
Stock, J. H., Watson, M. (2002). Has the Business Cycle Changed and Why? NBER working papers, 9127, 159–230.
Sujithan, K. A., Avouyi-Dov, S., Koliai, L. (2013). Does Monetary Policy Respond to Commodity Price Shocks? 62nd annual meeting of the AFSE, 52.
Taylor, J. (1993). Macroeconomic Policy in a World Economy: From Econometric Design to Practical Operation. New York, NY: W.W. Norton and Company.
Taylor, J. (1995). The Monetary Transmission Mechanism: An Empirical Framework. Journal of Economic Perspectives, 9(4), 11–26. https://doi.org/10.1257/jep.9.4.11
Temizsoy, A., Montes-Rojas, G. (2019). Measuring the Effect of Monetary Shocks on European Sovereign Country Risk: An Application of GVAR Models. Journal of Applied Economics, 22(1), 484–503. https://doi.org/10.1080/15140326.2019.1665312
Tumala, M., Salisu, A., Atoi, V., Yaaba, N. (2021). International Monetary Policy Spillovers to Emerging Economies in Sub-Saharan Africa: A global VAR Analysis. Scientific African, 14. https://doi.org/10.1016/j.sciaf.2021.e00976
Uhlig, H. (2005). What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure. Journal of Monetary Economics, 52(2), 381–419.
Vargas-Silva, C. (2008). Monetary Policy and the US Housing Market: A VAR Analysis Imposing Sign Restrictions. Journal of Macroeconomics, 30(3), 977–990. https://doi.org/10.1016/j.jmacro.2007.07.004
Weber, E. J. (2006). Monetary Policy in a Heterogeneous Monetary Union: The Australian Experience. Applied Economics, 38(21), 2487–2495. https://doi.org/10.1080/00036840500427742
Younus, S. (2003). Essays on monetary policy in Bangladesh. Dissertations, 1325, 1–178.
Zheng, J. (2013). Effects of US Monetary Policy Shocks During Financial Crises — A Threshold Vector Autoregression Approach. CAMA Working Paper Series, 64, 1–48.
Zhang, X., Pan, F. (2021). Asymmetric Effects of Monetary Policy and Output Shocks on the Real Estate Market in China. Economic Modelling, 103, 105600. https://doi.org/10.1016/j.econmod.2021.105600
