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The article examines the relationship between the dynamics of the exchange rate and prices in Russia in a volatile environment of foreign markets and the change of the monetary and credit policy of the Bank of Russia. The purpose of this work is to assess the transfer effect of the nominal exchange rate of the ruble on the prices for consumers and producers in 2002–2017 in general and in the periods of relative homogeneity of the monetary policy regime in Russia. The analysis was based on statistical data on the Russian economy for the period 2002–2017. The method of econometric modelling is used to quantify the observed effects. The study is based on the apparatus of structural vector autoregressions, evaluated using Bayesian methods. The structural identification of the model is carried out by the recursive ranking of variables and decomposition of structural shocks elaborated by André-Louis Cholesky. Bayesian regularization is based on the application of a combination of independent normal and inverse Wishart’s a priori distributions. Qualitative interpretation of the results is based on the analysis of the impulse response functions. The results of the study confirm the existence of a statistically and economically significant relationship between the dynamics of the exchange rate and prices in Russia during the last two decades. The effect of exchange rate shocks is immediate. We showed that the impact of the exchange rate on consumer prices has remained significant for several years. The reaction of producer prices is greater than the effect observed for consumer prices. A sample of data for 2014–2017 indicates a decrease in the effect transfer of exchange rate and proved the effectiveness of inflation targeting. The transition to the policy of inflation targeting has reduced the dependence of inflation processes in Russia on the external market conditions and global risks.

Modeling the transfer Effect of Exchange Rate on Prices in Russia