Data and algorithms for the project of sterilized intervention effectiveness evaluation on Russian data 2014-2017

This project presents tests for sterilized intervention effectiveness evaluation for small open commodity exporting economy. It corresponds to submission of the paper: "Sterilized interventions in the form of FX repo auctions: VECM analysis of Russian case" prepared for Russian Journal of Money and Finance in April, 2018. Three Vector error correction models are estimated and analyzed (VECM1, VECM2, VECM3). Used in the estimation time series include 618 daily observations from 6 November 2014 to 20 April 2017. The oil price is the price of the OPEC basket in US dollars per barrel. The exchange rate is the average spot rate (with delivery TODAY) on the Moscow Exchange (MOEX) measured in Russian rubles per one US dollar. Both oil price and exchange rate are introduced in the models in natural logarithm to measure short term and long term elasticity of exchange rate with respect to oil price. The policy interest rate is the BoR key interest rate in percent. I introduce the cumulated sterilized interventions variable as total claims of BoR to commercial banks in USD, created by foreign currency repo auctions . Sterilized intervention variable is the volume of US dollars distributed through the repo auction at day t minus the volume of US dollars paid by commercial banks to the BoR at day t. Data are contained in: All graphs for RJMF reestimated2.xls for Excel VECM_reestimated2.jsc for JMulti JM_data_VECM1_reest2.mat JM_data_VECM2_reest2.mat JM_data_VECM13_reest2.mat for Matlab.