APPENDIX Interventions in the Form of Foreign Currency Repos: VECM Analysis Using Russian Data
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1 23 Russian Journal of Money and Finance v Appendices june 8 APPENDIX Interventions in the Form of Foreign Currency Repos: VECM Analysis Using Russian Data Andrei Shulgin, National Research University Higher School of Economics Figure. Daily statistics of USD exchange rate, oil prices P Oil,t (the left panel, and monetary policy instruments (the right panel: cumulative interventions (left scale; key interest rate i k,t (the right panel P * Oil,t 2 i k,t Oil price (OPEC basket, USD per bbl Exchange rate (TODAY, USD to RUR Cumulative interventions, USD bln (left scale Key interest rate, % (right scale Figure 2. Endogenous variables in the crisis period. Monetary policy instruments (right scale: key interest rate i k,t (%, and daily interventions Δ, USD bln; USD exchange rate and oil price P Oil,t (left scale i k,t 6 P * Oil,t USD exchange rate to RuR (left scale Key interest rate (right scale Sterilized interventions, USD bln (right scale Oil price, USD per bbl (left scale
2 24 Russian Journal of Money and Finance v Appendices june 8 VECM. Model without the interest rate, featuring an asymmetric response to positive and negative interventions Table 2. The results of matrix B estimation e S,t e Z +,t e Z,t e Poil,t u S,t.98 (.9 [.67] u Z +,t. (.7 [.69].4333 (.763 [.68] u Z,t.4 (.4 [.98].27 (.296 [7.2] u Poil,t.8 (.6 [3.29].247 (.39 [.78].27 (.8 [3.39].23 (.9 [24.] Figure 3. IRF of exchange rate (the left panel and cumulative positive Z + t and negative Z t sterilized interventions (the right panel to positive intervention shock e Z +,t with 9%confidence intervals obtained by the bootstrap method using EfronTishbirani ( and and Hall ( и algorithms.4.2 (e z +,t (e z +,t (e z +,t 2
3 2 Russian Journal of Money and Finance v Appendices june 8 Fugure 4. IRF of exchange rate (the left panel and cumulative positive Z + and negative Z t t sterilized interventions (the right panel to a negative sterilized interventions shock e Z,t.,,6.2,2.,9.,6. (e S,t (e z,t 2 2,..8,4.6,3.4,2.2 (e z,t + (e S,t,3.2.3,.4,3.,.2,.4,.6 + (e z,t Hall Hall inf sup Efr inf mean Positive Figure. IRF of exchange rate (the left panel and cumulative positive sterilized interventions Z + t the right panel to exchange rate shock e S,t (es S,t t (e S,t (ez S,t t (e S,t mean IRF mean Positive
4 26 Russian Journal of Money and Finance v Appendices june 8 Figure 6. IRF of exchange rate to oil price shock e POil,t (e Poil,t VECM2. Model featuring the key interest rate and an asymmetric reaction to positive and negative interventions Table 3. The results of matrix B estimation e S,t e i,t e Z +,t e Z,t e Poil,t u S,t.89 (.9 [9.9] u i,t.24 (. [2.28].2248 (.474 [4.74].2 (.6 [.2].7 (.4 [.67].79 (.6 [3.66].33 (.33 [2.49] u Z +,t.3774 (.773 [4.88] u Z,t.3 (.297 [6.8] u Poil,t.92 (.22 [.7].33 (.66 [.].23 (. [23.3]
5 27 Russian Journal of Money and Finance v Appendices june 8 Figure 7. IRF of exchange rate to positive e Z +,t (the left panel and negative e Z,t (the right panel sterilized interventions shocks (e z +,t (e Z,t Figure 8. IRF of exchange rate to key interest rate shock e i,t (the left panel and IRF of key interest rate i k,t to exchange rate shock e S,t (the right panel (e i,t.. i k,t (e S,t
6 28 Russian Journal of Money and Finance v Appendices june 8 VECM3. Model featuring the key interest rate, an asymmetric response to positive and negative interventions, and the absence of constraints on the cointegration vector Table 4. Results of matrix B estimation e S,t e i,t e Z,t e Poil,t u S,t.9 (.8 [.86] u i,t.27 (. [2.4].2386 (.6 [4.29] u Z,t. (. [.].4424 (.748 [.9] u Poil,t.82 (.6 [3.77].32 (.4 [2.28].2 (.6 [3.28].23 (.9 [24.] Figure 9. IRF of exchange rate to sterilized intervention shocks e Z,t (the left panel and key interest rate shock e i,t (the right panel.3.2 (e Z,t (e i,t 2
7 29 Russian Journal of Money and Finance v Appendices june 8 Figure. IRF of sterilized interventions (the left panel and key interest rate i k,t (the right panel to exchange rate shock e S,t (e S,t.. i k,t (e S,t Model comparison Figure. Cointegration residual VECM VECM2 VECM3
8 3 Russian Journal of Money and Finance v Appendices june 8 Figure 2. IRF of exchange rate to positive e Z +,t (the left panel and negative e Z,t (the right panel sterilized intervention shocks. IRF of exchange rate to sterilized intervention shock e Z,t for VECM3 is shown in both panels.3.2 (e Z +,t VECM (e Z,t VECM (e Z +,t VECM.2.3 (e Z,t VECM VECM VECM2 VECM3 (e Z,t VECM3.4. VECM VECM2 VECM3 (e Z,t VECM3 Figure 3. IRF of exchange rate to interest rate shock e i,t (e k,t VECM2 2 (e k,t VECM3.4 VECM2 VECM3
9 3 Russian Journal of Money and Finance v Appendices june 8 Contribution of monetary factors to exchange rate movements in the crisis period Figure 4. VECM: Contribution of sterilized foreign currency interventions and exchange rate shocks e St to ln movements (left panel; US dollar exchange rate less the contribution of various types of shocks (right panel VECM: Contribution of sterilized interventions in lns (left scale VECM: Contribution of exchange rate shocks in lns (left scale Data: Cumulated interventions, in bln USD (right scale VECM: Exchange rate, RuR per USD. Oil price shocks only VECM: Exchange rate, RuR per USD. No monetary policy Data: Exchange rate (TOD, RuR per USD.. Figure. VECM2: Contribution of sterilized foreign currency interventions and key interest rate i k,t to ln movements (the left panel; US dollar exchange rate less the contribution of various types of shocks (the right panel VECM2: Contribution of sterilized interventions in lns (Left scale VECM2: Contribution of key interest rate in lns (Left scale Data: key interest rate, in % (Right scale Data: cumulated interventions in bln USD (Right scale VECM2: Exchange rate, RuR per USD. No sterilized interventions VECM2: Exchange rate, RuR per USD. No monetary policy Data: Exchange rate (TOD, RuR per USD 8..
10 32 Russian Journal of Money and Finance v Appendices june 8 Figure 6. VECM3: Contribution of sterilized foreign currency interventions and key interest rate i k,t to ln movements (the left panel; US dollar exchange rate less the contribution of various types of shocks (the right panel VECM3: Contribution of sterilized interventions in lns (Left scale VECM3: Contribution of key interest rate in lns (Left scale Data: key interest rate, in % (Right scale Data: cumulated interventions in bln USD (Right scale VECM2: Exchange rate, RuR per USD. No sterilized interventions VECM2: Exchange rate, RuR per USD. No monetary policy Data: Exchange rate (TOD, RuR per USD Figure 7. Contribution of monetary instruments to ln movements for the three models VECM: Contribution of both monetary instruments in lns (Left scale Data: key interest rate, in % (Right scale VECM2: Contribution of both monetary instruments in lns (Left scale Data: cumulated interventions, in bln USD (Right scale VECM3: Contribution of both monetary instruments in lns (Left scale
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