САТЕЛЛИТНАЯ SVARX-МОДЕЛЬ ВАЛЮТНОГО КАНАЛА В УСЛОВИЯХ ПОСТСАНКЦИОННОЙ АСИММЕТРИИ ПОСЛЕ 2022 ГОДА

Abstract:
After 2022, the exchange-rate channel of monetary policy in Russia began to operate in a more complex environment. The ruble exchange rate has become more strongly affected by sanctions-related restrictions, the restructuring of foreign trade settlements, government operations with foreign currency and gold, mandatory sales of export revenues, and changes in foreign exchange market infrastructure. The research problem is that the updated quarterly projection model of the Bank of Russia Research and Forecasting Department (QPM RFD) already accounts for trade, fiscal, and institutional factors, but its quarterly frequency smooths short-term foreign exchange market responses. Therefore, the daily response of the exchange rate to monetary and financial impulses requires a separate test. The purpose of the article is to justify and preliminarily estimate a satellite daily SVARX model that complements the QPM RFD and is better suited for analyzing sign and magnitude asymmetry in the first stage of the exchange-rate channel. The hypothesis is that the ruble responds both to the direction of the monetary and financial impulse and to its magnitude. The scientific novelty is related to the separation of two levels of analysis: the quarterly model describes the new exchange-rate formation environment, while the daily SVARX specification tests the short-term response of the ruble. The endogenous part of the model includes changes in RUONIA, the one-year OFZ yield, and an extended exchange-rate index. The exogenous part accounts for government foreign exchange operations, mandatory sales of export revenues, export and import proxies, oil market conditions, the dollar factor, and VIX. The calculations are based on daily data for March 2022 to April 2026. The results show that the linear component of the RUONIA shock is associated with ruble appreciation, while the absolute value of the structural innovation has a positive and statistically significant effect on the exchange-rate index. The practical significance lies in proposing a daily tool for monitoring the first stage of the exchange-rate channel. Further research may involve building a model that links the identified ruble exchange-rate response to subsequent inflation dynamics and inflation expectations.