International Spillovers of Russian Monetary Policy in the Presence of Capital Control

This study focuses on the impact of the Bank of Russia's monetary policy shocks on macroeconomic indicators of financial markets in the EAEU countries under capital market restrictions in Russia over the time horizon from January 2015 to September 2023. At the first stage of this study, the monetary policy shock of the Central Bank of Russia is identified using the modified Taylor rule. The next step was the selection of the most appropriate methodology for calculating an index reflecting capital controls and reduced financial account liberalization. Then, based on the VAR model with the inclusion of exogenous variables, the response trajectories of selected macroeconomic variables in the recipient countries of Russian monetary shocks were estimated. As a result of this study, it was concluded that there is a significant impact of the Bank of Russia monetary policy shocks on macroeconomic variables in the countries of the Eurasian Economic Union under capital market constraints. This leads to some limitation of central banks' independence in the Union countries and requires coordinated monetary policy within the region.