Abstract:
This paper analyzes the impact of central bank information policy on the Russian stock exchange indices in 2014– 2015. For this purpose, we construct an information index, which summarizes the verbal interventions of the Bank of Russia during this period. After that, we estimate GARCH models using daily data on the stock returns and the information index. We show that the verbal interventions lead to higher returns of MICEX index. However, we do not find any significant impact of information policy neither on returns of RTS index nor on the volatilities of the indices.
