Consumer Prices in Russia: Effects of the Exchange Rate Shocks

Introduction. National currency exchange rate change can lead to a change in prices for both imported and domestic goods. Therefore, the growth of inflation observed in 2014–2015, accompanied by the ruble depreciation, rises the question: what role did currency shocks play in this? The study is devoted to assessing the pass-through in Russia. Theoretical analysis. There are direct and indirect channels of pass-through influence in literature. The direct channel is based on changes in domestic prices for imported goods, expressed in national currency, and the indirect channel is based on the competitiveness of goods on the international market. In practice, in many countries there is an incomplete pass-through due to the microeconomic and macroeconomic factors. Empirical analysis. To estimate the pass-through monthly data on aggregated and disaggregated price indexes for goods (43 goods), exchange rate, money supply, industrial production index in Russia and oil price for 1997–2018 were used. The estimation was carried out by means of vector autoregressive model for the entire time period and for subperiods divided taking into account the crises of 1998 and 2008 and the sanctions set in 2014. Results. The estimates obtained confirm the existing scientific results on the incomplete transfer effect in Russia and at the same time demonstrate a large difference in its value for different categories of consumer goods. After the 1998 crisis, consumer price reactions to exchange rate shocks weakened.