Financial Analytics: Science and Experience

Financial repression index analysis in OECD and BRICS countries

Vol. 10, Iss. 8, AUGUST 2017

Received: 15 May 2017

Received in revised form: 15 June 2017

Accepted: 19 June 2017

Available online: 15 August 2017


JEL Classification: E5, Е58, Е61, Н27

Pages: 859–876

Akhmed Abu Bakr F.A. Moscow State Institute of International Relations (University) of Ministry of Foreign Affairs of Russian Federation, Moscow, Russian Federation

Importance The article deals with the issues of financial repression policy aimed at raising additional income for the State budget as well as reducing the public debt burden, and it discusses a quantitative assessment of the impact of such non-conventional monetary policy measures on economic growth. The article studies the composition of financial repression policy tools applied in thirteen OECD and BRICS countries selected.
Objectives The article aims to build an index of financial repression and examine its structure, determining the impact of a certain monetary policy tool on the overall index performance.
Methods The paper employs several methods of econometric research. The core one is the method of Principal Component Analysis. To conform statistical data to the analysis requirements, I used T-statistics standardization. As well, I have built a correlation matrix to highlight similarities between financial repression policies in various countries.
Results The article presents a built financial repression index and the results of the analysis of the structure of financial repression index elements, revealing specific features of policy implementation for each particular country.
Conclusions The majority of countries display a similar downward pattern of financial repression index dynamics. Nevertheless, the global crisis of 2007–2009 and commodity price slump of 2014 prompted a drastic spike of financial repression policies.

Keywords: monetary policy, macroprudential regulation, financial repression index, Principal Component Analysis, sovereign debt


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