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Vadim Ye. Zyamalov – Researcher of the Russian Presidential Academy of National Economy and Public Administration (Moscow, Russia). E-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

Single-regime econometric models are widely used to model the dynamics of stock indices. These models are valid if the relationship between the variables under consideration remains unchanged. However, this assumption may become incorrect if they may change for any economic reason. To resolve these issues, multi-mode models allowing for explicitly taking into account these changes were introduced.

This paper presents the results of modeling the impact of macroeconomic indicators on the dynamics of the RTSI index depending on the external economic situation using the price of oil as one of the main export commodities. It is shown that depending on the economic regime there is a difference in the nature of the impulse responses of the RTS index to innovation in explanatory macroeconomic indicators.

Key words: financial indices, multi-regime models, STVECM, impulse responses.

JEL-codes: C32, C53, G12.

Alexandra V. Bozhechkova – Head of Monetary Policy Department of the Gaidar Institute for Economic Policy; Senior Researcher of the Russian Presidential Academy of National Economy and Public Administration, Candidate of Economic Sciences (Moscow, Russia). Е-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

Alexander Yu. Knobel – Head of Foreign Trade Department of the Gaidar Institute for Economic Policy; Director of Center for Foreign Trade Department of the Russian Presidential Academy of National Economy and Public Administration; Director of the Institute for International Economics and Finance, Russian Foreign Trade Academy, Candidate of Economic Sciences (Moscow, Russia). Е-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

Pavel V. Trunin – Head of Center for Macroeconomics and Finance of the Gaidar Institute for Economic Policy; Director of Center for Сentral Banks Studies of the Russian Presidential Academy of National Economy and Public Administration, Doctor of Economic Sciences (Moscow, Russia). Е-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

At the end of Q1 2022, the positive balance of trade in goods and services increased by more than 2.5-fold on the back of high commodity prices and ongoing significant export deliveries. Due to the geopolitical crisis and the imposition of sanctions, the private sector’s net capital outflow for Q1 2022 reached the highest level since Q4 2014. The freezing of international reserves forced the Bank of Russia to impose tight restrictions on capital movement, which made it possible to stabilize the ruble exchange rate.

Key words: balance of payment, exports, imports, current account, ruble exchange rate, outflow/inflow of capital, Bank of Russia.

JEL-codes: E58, E44, F32, F21, F31.

Alexandra V. Bozhechkova – Head of Monetary Policy Department of the Gaidar Institute for Economic Policy; Senior Researcher of the Russian Presidential Academy of National Economy and Public Administration, Candidate of Economic Sciences (Moscow, Russia). Е-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

Еlena V. Sinelnikova-Muryleva – Senior Researcher of the Russian Presidential Academy of National Economy and Public Administration, Candidate of Economic Sciences, Associate Professor (Moscow, Russia). E-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

Pavel V. Trunin – Head of Center for Macroeconomics and Finance of the Gaidar Institute for Economic Policy; Director of Center for Сentral Banks Studies of the Russian Presidential Academy of National Economy and Public Administration, Doctor of Economic Sciences (Moscow, Russia). E-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

In late February 2022, the EU countries and the USA put in place sanctions against the Bank of Russia, which imply freezing of international reserve assets. As a result, about 50% of the reserves ($300 bn of the $630 bn available as of February 1, 2022) were affected by the sanctions.

The freezing of reserves led to the suspension of the budget rule. Accordingly, despite the reduction of exports, the price growth on key commodities led to a sharp increase in the supply of foreign currency on the Russian foreign exchange market, while demand remains limited due to the effect of restrictions on capital flows. In the medium-term period, as a new equilibrium is established in the markets, it is advisable to develop an alternative version of the budget rule, ensuring, as before, a lower correlation between oil prices and the exchange rate.

Key words: inflation, monetary police, key rate, capital outflow, Bank of Russia.

JEL-codes: E31, E52, F31.