TRANSMISSION OF MONETARY SHOCKS TO THE COST OF CAPITAL OF ENTERPRISES IN RUSSIA: AN ANALYSIS BASED ON IMPULSE RESPONSE FUNCTIONS OF OFZ YIELDS

Abstract

The paper analyzes the role of the monetary policy of the Central Bank of the Russian Federation in regulating macroeconomic processes and its impact on the cost of capital for enterprises through the channel of long-term federal loan bond (OFZ) yields. Using the local projections method, the reaction of yields to unexpected changes in the key rate is analyzed. The results show that increases in the CBR's key rate cause an immediate and statistically significant positive reaction in OFZ yields, but this effect quickly fades, losing statistical significance within 4-5 months and becoming insignificant over a horizon of more than 10-12 months. Understanding the reaction of the risk-free rate to CBR monetary policy shocks can be used in making financial and investment decisions. Future plans include expanding the model to incorporate other relevant macroeconomic variables for a more comprehensive assessment.