Declared and actual policy of the Russian Central Bank in 2000–2008: how large is the difference? (in Russian)

There is an opinion that the Russian Central Bank's actual policy in 2000–2008 was real exchange rate targeting. At the same time, the Central Bank regularly declared inflation targets, but regularly missed them. We estimate a simple structural threshold VAR model of the Russian economy to test for these two regimes of the CB's policy. Our testing procedure is based on applying the bootstrap to the estimated TVAR model. We find significant nonlinearity (two policy regimes) caused by endogenous switching between regimes based on past month inflation. The Central Bank by changing its targets was not able to commit to inflation reduction in that period of time, hence facing the issue of credible monetary policy. After the global financial crisis the CB declared its commitment to inflation targeting. But, based on our findings, the policy will be successful only if the Central Bank actually commits itself to reaching inflationary goals.