Research
Research
Work in progress
"Joint identification of monetary policy shocks and risk premium shocks ?”
Working papers
"Hawks, Doves, and the Dot Plot: Heterogeneous FOMC Reaction Functions" (submitted, Text, Appendix).
Abstract: This paper analyzes the individual policy reaction functions of Federal Open Market Committee (FOMC) members using the Summary of Economic Projections data from 2012 to 2019. We estimate member-specific policy reaction functions and document substantial heterogeneity in the marginal effects of inflation and unemployment gaps across members. We show that this heterogeneity implies differences in voting behavior and forecasted policy rate paths. Observable individual characteristics—such as educational background, age, and research experience—account for a significant share of the variation. These findings point to systematic differences in policy preferences among FOMC participants.
"When and to what extent does the Federal Reserve take market forecasts into account?"
Abstract: I investigate whether the Fed pays attention to the forecast’s discrepancies with the market. Using the quarterly data sample 1987-2007, I find that the Fed reacts to the GDP growth discrepancy with the Survey of Professional Forecasters (SPF). Specifically, the Fed is more inclined to follow the market if disagreement in market forecasts is smaller. However, it seems not to be the case with forecast discrepancies of the GDP deflator. I show that positive tail risks, approximated by the skewness of SPF individual forecasts, are important factors for the Fed to follow the market. One percentage point increase in the quarterly GDP deflator nowcast difference between the Fed and the market is associated with a 0.4 p.p. lower Fed Fund Rate if the market distribution is symmetric, whereas the effect is halved if the distribution is substantially skewed to the right (skewness = +2). However, the rapid changes in economic conditions during the GFC presumably contributed to the more mixed results obtained from the bigger sample (1987-2017).
Prior works
"Monetary policy and the yield curve", with Alexander Tishin and Konstantin Styrin (2022), Bank of Russia Working Papers Series. (Text, Slides)
Abstract: This paper examines the impact of monetary policy on financial and macroeconomic variables in Russia. We distinguish between two types of monetary policy shocks: (1) those driven by changes in current policy rates, and (2) those driven by other factors such as forward guidance, communication, or central bank information. We find that these two types of shocks have distinct effects on financial variables. The first type primarily explains movements in interest rates across the yield curve, while the second type better accounts for fluctuations in the exchange rate and stock market indices. Moreover, we show that monetary policy transmission from interest rates to inflation operates with a lag of about one year, and that this effect is only temporary.
"Spillover Effects of Russian Monetary Policy Shocks on the Eurasian Economic Union (2020)", Bank of Russia Working Papers Series.
RA experience
"Forecasting Inflation in Russia Using Dynamic Model Averaging", Styrin K. (2019), Russian Journal of Money and Finance
"The role of global relative price changes in international comovement of inflation", Kiselev A., Zhivaykina A. (2020), The Journal of Economic Asymmetries.
"Do market-based networks reflect true exposures between banks?", Craig B., Karamysheva M., Salakhova D. (2021), ECB Working Paper Series No 2867.