Analysis of the Endogeneusity of Money Supply in Russia

One of the most discussed issues among economists around the world is the question of optimal monetary policy, which, according to modern macroeconomic concepts, is not the only factor influencing the volume of money supply in a country. The controversial nature of the issue of the money supply’s endogeneity has led to many empirical studies based on data from different countries and time periods. The most common approach is to test the hypothesis about the money supply’s endogeneity by constructing vector autoregression models and error correction. The results of applied estimates primarily confirm the hypothesis about the endogeneity of money supply not only in developed countries, but also in developing ones. There are examples of studies where the endogeneity of money is not refuted in a country with a fixed exchange rate, in a country with a multi-currency regime, and also in a country with hyperinflation. Thus, confirmation of this theory is becoming increasingly widespread. However, the results of studies within different time periods for Russia are contradictory.

This article conducted pairwise testing of the relationships between monetary aggregates and indicators of lending volumes, both on nominal data and on real seasonally adjusted data. The analysis was carried out over two time intervals: January 2010 – September 2020 and October 2020 – January 2024, during which similar results were obtained. In addition, using the same samples, a comprehensive analysis of the relationships between key macroeconomic indicators was carried out, which led to important conclusions. These models do not refute the dependence of the money supply on the volume of bank lending. In addition, our new result is a statistically significant positive short-term impact of the interest rate on inflation, which confirms the point of view of S.Yu. Glazyev – an increase in interest rates leads to increased costs for borrowers, which leads to increasing production costs and prices. Thus, throughout the entire period under study, the influence of endogenous factors on fluctuations in monetary aggregates in Russia is not refuted

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