2019 (16), №4

Verbal Interventions of the Bank of Russia and the Interest Rate Structure



For citation: 

Telegin, O. V., & Merzlyakov, S. A. (2019). Verbal Interventions of the Bank of Russia and the Interest Rate Structure. Zhurnal ekonomicheskoj Teorii [Russian Journal of Economic Theory], 16(4), 654-672


This paper investigates verbal interventions of the Bank of Russia from 2014 to 2017, as well as the relationship between verbal interventions and interest rates in the Russian economy. All statements made by official representatives of the Bank of Russia, as well as those by the press service and reports of Bank of Russia departments, were considered as the verbal interventions of the Bank of Russia. The values of the zero coupon yield curve of the Moscow Exchange were taken into account as interest rates in the economy of the Russian Federation. The results of the study showed the necessity of taking into account the instability of model parameters and study models for individual time segments in case of considering the relationship between the structure of interest rates in the economy, other macroeconomic indicators and verbal interventions. Optimal time segments in terms of improving the quality of data presentation were obtained using novel research instruments. The results of assessment of various models, including ARCH and GARCH, demonstrated that the information policy of the Bank of Russia has a significant impact both on short-, medium- and long-term interest rates. Moreover, the relationship between the statements of Bank of Russia representatives and interest rates depended both on the subject and on the tone of the statements. This work supplements the existing economic literature by studying the influence of the Regulator not only on the current economic dynamics, but also on the long-term expectations of economic agents. In addition, the problems of the effectiveness of the information policy of the Bank of Russia were discussed, and a number of proposals to increase its effectiveness were considered.

PDF full
Downloaded: 6

Oleg Valer’evich Telegin — PhD Student, Higher School of Economics (Moscow, Russian Federation; e-mail: otelegin@ hse.ru).

Sergey Anatol’evich Merzlyakov — PhD in Economics, Associate Proffessor, Deputy Departmental Head, International Laboratory for Macroeconomic Analysis, Higher School of Economics (Moscow, Russian Federation; e-mail: smerzlyakov@ hse.ru).

Aganin, A. D., & Peresetsky, A. A. (2018). Volatil’nost’ kursa rublya: neft’ i sanktsii [Volatility of ruble exchange rate: Oil and sanctions]. Prikladnaya ekonometrika [Applied Econometrics], 52, 5–21. (In Russ.)

Kuznetsova, O. S., & Merzlyakov, S. A. (2016). Signaly o budushchikh izmeneniyakh klyuchevoy stavki kak instru- ment informatsionnoy politiki Banka Rossii [Forward Guidance as an Instrument of the Bank of Russia’s Communication Policy]. Den’gi i kredit [Money and credit], 11, 19–25. (In Russ.)

Kuznetsova, O. S., & Ulyanova, S. R. (2016). Vliyanie verbal’nykh interventsiy Banka Rossii na fondovye indeksy [The Impact of a Central Bank’s Verbal Interventions on Stock Exchange Indices]. Zhurnal ekonomicheskoy teorii [Journal of economic theory], 4, 18–27. DOI: 10.2139/ssrn.2876617. (In Russ.)

Kuznetsova O. S., & Ulyanova, S. R. (2018). Valyutnyy kurs i verbal’nye interventsii Banka Rossii i organov gosudarst- vennoy vlasti [The Exchange Rate and the Verbal Interventions by the Government and the Bank of Russia]. Ekonomicheskiy zhurnal Vysshey shkoly ekonomiki [Economic journal of Higher School of Economics], 22(2), 228–250. DOI: 10.17323/1813– 8691–2018–22–2-228–250. (In Russ.)

Merzlyakov, S. A., & Habibullin, R. A. (2017). Informatsionnaya politika Banka Rossii: analiz vozdeystviya press-relizov o klyuchevoy stavke na mezhbankovskuyu stavku [Information Policy of the Bank of Russia: the Influence of the Press Releases on the Interbank Rate]. Voprosy ekonomiki [Economic issues], 11, 141–151. DOI: 10.32609/0042–8736–2017–11– 141–151. (In Russ.)

Andersen, T. G., & Bollerslev, T. (1998). Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies. Journal of Finance, 53 (1), 219–265. DOI: 10.1111/0022–1082.85732.

Badagian, A. L., Kaiser, R., & Pena, D. (2015). Time Series Segmentation Procedures to Detect, Locate and Estimate Change-Points. Empirical Economic and Financial Research: Theory, Methods and Practice. Springer International Publishing, 45–59.

Beine, M., Benassy-Quere, & A., Lecourt, C. (2002). Central Bank Intervention and Foreign Exchange Rates: New Evidence from FIGARCH Estimations. Journal of International Money and Finance, 21(1), 115–144. DOI: 10.1016/S0261–5606(01)00040–7.

Buchel, K. (2013). Do words matter? The impact of communication on the PIIGS’ CDS and bond yield spreads during Europe’s sovereign debt crisis. European Journal of Political Economy, 32, 412–431. DOI: 10.1016/j.ejpoleco.2013.08.004.

Davis, R. A., Lee, T. C., & Rodriguez-Yam G. A. (2006). Structural break estimation for nonstationary time series mod- els. Journal of the American Statistical Association, 101, 223–239. DOI: 10.1198/016214505000000745.

Dewatcher, H., Erdemlioglu, D., Gnabo, J., & Lecourt, C. (2014). The Intra-day Impact of Communication on Euro- Dollar Volatility and Jumps. Journal of International Money and Finance, 43, 131–154. DOI: 10.2139/ssrn.2230346.

Egert, B., & Kocenda, E. (2014). The Impact of Macro News and Central Bank Communication on Emerging European Forex Markets. Economic Systems, 38(1), 73–88. DOI: 10.1016/j.ecosys.2013.01.004.

Fiordelisi, F., Galloppob, G., & Ricci, O. (2014). The effect of monetary policy interventions on interbank markets, equity indices and G-SIFIs during financial crisis. Journal of Financial Stability, 11, 49–61. DOI: 10.1016/j.jfs.2013.12.002.

Gabriel, P., & Pinter, K. (2006). The effect of the MNB’s communication on financial markets. MNB Working Papers, 9, 1–56.

Jansen, D., & De Haan, J. (2005). Talking Heads: The Effects of ECB Statements on the Euro–Dollar Exchange Rate. Journal of International Money and Finance, 24 (2), 343–361. DOI: 10.1016/j.jimonfin.2004.12.009.

Jansen, D., & De, Haan J. (2007). Were verbal efforts to support the euro effective? A high-frequency analysis of ECB statements. European Journal of Political Economy, 23, 245–259. DOI: 10.2139/ssrn.714881.

Nelson, C. R., & Siegel, A. F. (1987). Parsimonious modeling of yield curves. Journal of Business, 60, 473–489. DOI: 10.1086/296409.

Rozkrut, M., Rybinski, K., Sztaba, L., & Szwaja, R. (2007). Quest for central bank communication: Does it pay to be “talkative”? European Journal of Political Economy, 23, 176–206. DOI: 10.1016/j.ejpoleco.2006.09.011.