The application of distributed lag and vector autoregression models on the basis of annual (1998 through 2016) and monthly (April 2009 through April 2017) statistical data established that changes in monetary policies affecting the money supply (M2) have a positive impact on the volumes of loans issued to enterprises, as well as on the net change of flows and transfers on debt. It provides quantitative measuring of the dependence of the credit channel breadth on changes in monetary policy due to which appropriate models are derived. The paper introduces the concept of credit channel breadth (a term is proposed by the authors) measured as a relative extent of credit availability and affordability to the real sector enterprises. Yet, the credit channel is understudied, also because it is a relatively new phenomenon for those who study the Russian economy. Under the present conditions in Russia, the widely used interest rate channel is being replaced by the credit channel, which is thought to be more effective in facilitating or slowing down the economy. The article revises existing channels of monetary policy transmission due to obvious changes in the macroeconomic environment, as well as in the patterns and efficiency of conventional channels. Last, but not least, the central bank has been also sensitive to the financial stability, as reflected by the results of the incorporation of the ROBOR-EURIBOR spread in the classical Taylor rule. Also, the results show us that NBR paid a higher attention to the dynamics of the inflation versus its target than to the output gap. The results confirm the direct correlation between the monetary policy rate and the output gap on the one hand, and the inflation differential (inflation - inflationtarget) on the other hand.
Then, we estimated the traditional Taylor rule function (with a classic OLS regression), but slightly modified, as to take into account the forward-looking attitude of the NBR. We determined the potential GDP by employing the Hodrick-Prescott filter, in order to distinguish between the cyclical and the structural components of the output.
In this paper we analyse the monetary policy of the National Bank of Romania during 2005-2015 by estimating the Taylor rule, on a quarterly basis.
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