Abstract

The duration of monetary shocks in the economy is often explained not just by price rigidity, but also by the slow dissemination of information and the inertia of economic agents' expectations. Many methods for the information rigidity assessment are presented in the foreign scientific literature, but few such works exist in Russia. Therefore, the study of the information rigidity in the Russian economy is highly relevant. The subject of the study is information rigidity. The goal of this work is to study monetary policy in Russia, considering price rigidity and information rigidity. To achieve the goal of the study, we set the following objectives: a review of the models of imperfect information and methods of validating the hypotheses of these models’ compliance with the factual data based on a review of theoretical and empirical literature, data collection, validating the hypothesis of existence of imperfect information, obtaining quantitative estimates of information rigidity using the data for Russia. Research methods include statistical and econometric methods of time series analysis. We used data of consensus forecasts of professional analysts from Bloomberg and Interfax agencies, forecasts of the Ministry of Economic Development for the period from 2006 to 2020. Conclusions of the study: information rigidity was observed for forecasts of all macroeconomic indicators considered; the estimates of information rigidity vary for different macroeconomic variables; we also discovered a decrease in the degree of information rigidity during periods of increased instability in the economy. The results make it possible to explain the inertia in the response of macroeconomic variables to various shocks, including monetary policy shocks, and can be used in general equilibrium models.

Abstract

This paper systematizes the experience of empirical research on
news shocks, in particular on models of vector autoregressions, as well
as dynamic stochastic models of general equilibrium. The review examines the work
with various types of shocks, presents the main disadvantages of different classes of models
used to analyze the impact of news shocks on developed and developing
economies. The main prerequisites that need to be included in the DSGE are highlighted
models so that these models can demonstrate a co-directional change
the main macroeconomic indicators in response to the news shock. It has also
been demonstrated that VAR models and DSGE models use many similar ideas –
it is useful to include predictive indicators in each of these models. During the research
it was found that the proportion of explained variation in works with DSGE models is very
different from the proportion of explained variation in works with VAR models. A possible
reason may be that VAR models are characterized by the problem
of non-fundamentality.