vestreaВестник Российского экономического университета имени Г. В. ПлехановаVestnik of the Plekhanov Russian University of Economics2413-28292587-9251Plekhanov Russian University of Economics10.21686/2413-2829-2016-1-35-44vestrea-117Research ArticleФИНАНСЫ, ДЕНЕЖНОЕ ОБРАЩЕНИЕ И КРЕДИТFINANCE, MONETARY CIRCULATION AND CREDITМЕТОДИКА ПРОГНОЗИРОВАНИЯ УРОВНЯ СТАВКИ РЕФИНАНСИРОВАНИЯ ЕВРОПЕЙСКОГО ЦЕНТРАЛЬНОГО БАНКА В КРАТКОСРОЧНОЙ ПЕРСПЕКТИВЕMETHODOLOGY OF FORECASTING THE INTEREST RATE OF THE EUROPEAN CENTRAL BANK IN SHORT-TERM OUTLOOKСкуратоваАнастасия ВладимировнаSkuratovaAnastasiya V.

аспирантка кафедры банковского дела РЭУ им. Г. В. Плеханова

117997, Москва, Стремянный пер., д. 36

Post-Graduate Student of the Department for Banking of the PRUE

36 Stremyanny Lane, Moscow, 117997, Russian Federation

denik_2@inbox.ruРЭУ им. Г. В. ПлехановаРоссияPlekhanov Russian University of EconomicsRussian Federation201606092017013544Copyright © Скуратова А.В., 20172017Скуратова А.В.Skuratova A.V.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://vest.rea.ru/jour/article/view/117

В статье рассматривается вопрос прогнозирования динамики ставки рефинансирования Европейского центрального банка (ЕЦБ) как центрального банка, деятельность которого направлена на поддержание ценовой стабильности и ставка рефинансирования которого является индикатором, определяющим направленность денежно-кредитной политики. Автором разработана методика, позволяющая хозяйствующим субъектам использовать упрощенное правило Тейлора для прогнозирования динамики ставки рефинансирования ЕЦБ в краткосрочной перспективе (до одного года): предложен алгоритм прогнозирования, определены источники исходных данных, проведено сравнение фактической ставки рефинансирования ЕЦБ и рассчитанной с использованием разработанной методики ставки Тейлора.

The article deals with the issue of forecasting the dynamics of the interest rate of the European Central Bank as a central bank whose activity aims at supporting price stability and whose interest rate is an indicator showing the direction of monetary and credit policy. The author designed methodology, which allows business entities to use a simplified Tailor rule to forecast the dynamics of the interest rate of the European Central Bank in the short-term outlook (up to one year). The algorithm of forecasting was proposed, sources of initial data were provided, the comparison between the actual interest rate and the interest rate calculated by Tailor rater was made.

денежно-кредитная политикаценовая стабильностьпрогнозирование ставки рефинансированияправило Тейлораmonetary and credit policyprice stabilityforecasting of the interest rateTailor ruleReferencesGap between Actual and Potential Gross Domestic Product at 2010 Market Prices. - URL: http://ec.europa.eu/economy_finance/db_indicators/ameco/zipped_en.htm (дата обращения: 01.05.2015)Gap between Actual and Potential Gross Domestic Product at 2010 Market Prices. Available at: http://ec.europa.eu/economy_finance/db_indicators/ameco/zipped_en.htm (accessed 01.05.2015).Marcellino M., Musso A. Real Time Estimates of the Euro Area Output Gap. Reliability and Forecasting Performance // European Central Bank, Working Paper Series. - 2010. - N 1157. - February. - URL: https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1157.pdfMarcellino M., Musso A. Real Time Estimates of the Euro Area Output Gap. Reliability and Forecasting Performance. European Central Bank, Working Paper Series, 2010, No. 1157, February. Available at: https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1157.pdfOutput Gap (Percent of Potential GDP) for Euro Area // World Economic Outlook Database. - 2014. - October. - URL: http://www.imf.org/external/pubs/ft/weo/2014/02/ weodata/weorept.aspx?sy=2005&ey=2019&scsm=1&ssd=1&sort=country&ds=%2C&br=1&c=163&s=NGAP_NPGDP&grp=1&a=1&pr1.x=24&pr1.y=8Output Gap (Percent of Potential GDP) for Euro Area. World Economic Outlook Database, 2014, October. Available at: http://www.imf.org/external/pubs/ft/weo/2014/02/ weodata/weorept.aspx?sy=2005&ey=2019&scsm=1&ssd=1&sort=country&ds=%2C&br=1&c=163&s=NGAP_NPGDP&grp=1&a=1&pr1.x=24&pr1.y=8Taylor J. Discretion Versus Policy Rules in Practice // Carnegie-Rochester Conference Series on Public Policy. - 1993. - Vol. 39. - P. 195-214. - URL: http://web.stanford.edu/ ~johntayl/Papers/Discretion.PDF (дата обращения: 24.05.2015)Taylor J. Discretion Versus Policy Rules in Practice. Carnegie-Rochester Conference Series on Public Policy, 1993, Vol. 39, pp. 195–214. Available at: http://web.stanford.edu/ ~johntayl/Papers/Discretion.PDF (accessed 24.05.2015).Taylor J., Williams J. Simple and Robust Rules for Monetary Policy // NBER Working Paper. - 2010. - N 15908. - April. - URL: http://www.nber.org/papers/w15908.pdfTaylor J., Williams J. Simple and Robust Rules for Monetary Policy. NBER Working Paper, 2010, No. 15908, April. Available at: http://www.nber.org/papers/w15908.pdfYield Curve Spot Rate, 5-Year Maturity - Government Bond, Nominal, all Issuers Whose Rating is Triple A - Euro Area (Changing Composition) // European Central Bank - Statistical Data Warehouse. - URL: http://sdw.ecb.europa.eu/quickview.do?SERIES_KEY=165.YC.B.U2. EUR.4F.G_N_A.SV_C_YM.SR_5Y&start=&end=&trans=QF&submitOptions.x=0&submitOptions.y=0Yield Curve Spot Rate, 5-Year Maturity – Government Bond, Nominal, all Issuers Whose Rating is Triple A – Euro Area (Changing Composition). European Central Bank – Statistical Data Warehouse. Available at: http://sdw.ecb.europa.eu/quickview.do?SERIES_KEY=165.YC.B.U2. EUR.4F.G_N_A.SV_C_YM.SR_5Y&start=&end=&trans=QF&submitOptions.x=0&submitOptions.y=0

The authors declare that there are no conflicts of interest present.