Using factor-augmented vector autoregressive (FAVAR) models, this study examines the effects of the Central Bank of Russia’s (CBR) monetary policy on economic indicators. The sample includes 39 monthly macroeconomic series and covers the period 2004 through 2019. The analysis revealed counter-intuitive results, with consumer prices often responding positively to a contractionary monetary policy shock, and vice versa; this is related to the impossible trinity. The ruble exchange devaluation was accompanied by price increases through an import price pass-through, so the CBR chose exchange stability and free capital flows out of the impossible trinity, temporarily subordinating monetary policy independence. Such independence was limited, possibly due to Russia’s high dependence on energy exports and the link between energy prices and the exchange rate. The findings indicate no direct evidence of an effect of monetary policy tightening on the decrease in consumer prices; rather, the attenuation of ruble depreciation may have helped to stabilize prices, even after the CBR adopted inflation targeting.

本研究使用因子增强向量自回归 (FAVAR) 模型检验俄罗斯中央银行 (CBR) 货币政策对经济指标的影响。样本包括 39 个月度宏观经济序列，涵盖 2004 年至 2019 年期间。分析显示出与直觉相反的结果，消费价格通常对紧缩性货币政策冲击做出积极反应，反之亦然；这与不可能的三位一体有关。卢布贬值伴随着价格通过进口价格传导而上涨，因此央行在不可能的三位一体中选择了汇率稳定和资本自由流动，暂时从属于货币政策的独立性。这种独立性是有限的，可能是由于俄罗斯对能源出口的高度依赖以及能源价格与汇率之间的联系。调查结果表明，没有直接证据表明货币政策紧缩对消费者价格下降有影响；相反，即使在 CBR 采用通胀目标制之后，卢布贬值的减弱可能有助于稳定价格。