Russian Journal of Money and Finance, Vol. 78, No. 2: The welfare implications of monetary policy regimes for commodity-exporting economies and the impact of IMF programmes on the cost of sovereign borrowing

June 27, 2019

The second issue of the Russian Journal of Money and Finance for the year 2019 is now available.

The issue opens with a paper by Valery Charnavoki (New Economic School), which evaluates the welfare implications of alternative monetary policy regimes for a small commodity-exporting economy. This paper shows that the welfare costs of a nominal peg after internal shocks vary considerably depending on the extent of international risk-sharing. Flexible regimes and core consumer inflation targeting or non-commodity domestic inflation targeting are generally not ideal, although welfare costs for them are small compared to those of a fixed regime. Furthermore, the welfare ranking of these two regimes may depend on the currency in which the tradable goods are priced (producer-currency pricing vs. local-currency pricing).

In their article, Elena Deryugina and Alexey Ponomarenko (Bank of Russia) test the ability of early warning indicators to predict credit cycle peaks in a cross-section of emerging markets. Their results confirm that the standard credit gap indicator performs satisfactorily, however, the robustness of real-time credit cycle determination may potentially be improved by simultaneously monitoring GDP growth, banks’ non-core liabilities, the financial sector’s value added and (to a lesser extent) the change in the debt service ratio.

In their joint research, Jenny Kilp (Deutsche Bundesbank) and colleagues from the South African Reserve Bank consider the impacts of a country’s access to various layers of the global financial safety net on sovereign borrowing costs in emerging markets, including a country’s international reserves, bilateral swap line agreements, regional financing arrangements and various IMF programmes. The paper shows, in particular, that a country’s participation in a conventional IMF programme usually increases investors’ expectations about country-specific risk, whereas new preventive IMF programmes created after the 2007–2008 global financial crisis help reduce this risk.

Nikita Fokin (Russian Presidential Academy of National Economy and Public Administration) and Andrey Polbin (Russian Presidential Academy of National Economy and Public Administration; Gaidar Institute for Economic Policy) examine an application of the VAR-LASSO model to Russia's key macroeconomic indicators and forecast Russia’s economic growth for the immediate future.

The issue closes with a paper by Lev Fomin (Bank Otkritie Financial Corporation), which analyses the possibility of anticipating banks’ defaults using such predictors as deposit and loan rates, and the ratio of spending on advertising to the bank’s assets.


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