Heterogeneous Effects of Monetary Policy Across Industries: A BGVAR Analysis

Abstract

This paper examines heterogeneity in the sectoral effects of monetary policy in Russia. Using a recursively identified Bayesian global vector autoregression (BGVAR), we estimate the impact of an interest rate shock on key indicators across nine broad sectors of the Russian economy. The analysis uses data from the Bank of Russia’s monitoring of businesses from January 2002 to June 2025. The findings provide evidence of heterogeneous responses across sectors: the strongest effects are observed in construction, trade, manufacturing, and services, and the weakest in electricity and gas supply, water supply, and agriculture, with mining and transportation occupying an intermediate position. This heterogeneity does not alter the overall anti-inflationary and countercyclical pattern of the responses: higher interest rates dampen business activity and price growth across all sectors.