Are commodity price shocks important? A Bayesian estimation of a DSGE model for Russia
Economics/EC. WP BRP. Высшая школа экономики , 2013. No. WP BRP 48/EC/2013.
Malakhovskaya O. A., Minabutdinov A.
This paper constructs a DSGE model for an economy with commodity exports. We estimate the model on Russian data, making a special focus on quantitative effects of commodity price dynamics. There is a widespread belief that economic activity in Russia crucially depends on oil prices, but quantitative estimates are scarce. We estimate an oil price effect on the Russian economy in the general equilibrium framework. Our framework is similar to those of Kollmann(2001) and Dam and Linaa (2005), but we extend their models by explicitly accounting for oil revenues. In addition to standard supply, demand, cost-push, and monetary policy shocks, we include the shock of commodity export revenues, which are supposed to be like a windfall. The main objective of the paper is to identify the contribution of structural shocks to business cycle fluctuations in the Russian economy. We estimate the parameters and stochastic processes that govern ten structural shocks using Bayesian techniques. The model yields plausible estimates, and the impulse response functions are in line with empirical evidence. We found that despite a strong impact on GDP from commodity export shocks, business cycles in Russia are mostly domestically based
, International Economic Journal 2018 Vol. 32 No. 4 P. 631-668
Stabilizing monetary policy in a small open economy is constrained by the open economy trilemma. In this paper we investigate whether foreign exchange market interventions and the Central Bank’s credit rationing at the official rate (CROR) may soften this constraint and improve the results of monetary policy for different monetary regimes. We construct a DSGE ...
Added: November 5, 2018
, Monetary regime choice and optimal rationing of credit at official rate: the case of Russia / Высшая школа экономики. Series WP BRP "Economics/EC". 2015. No. WP BRP 103/EC/2015.
Stabilizing monetary policy in small open economy is constrained by the open economy trilemma. In a crisis this constraint may not allow Central Bank to cut interest rate because it may cause huge capital flight and subsequent problems. In this paper we investigate whether performed by Central Bank rationing of credit at official rate may ...
Added: October 22, 2015
, , International Journal of Computational Economics and Econometrics 2014 Vol. 4 No. 1/2 P. 148-180
This paper constructs a DSGE model for an economy with commodity . exports. We estimate the model using Russian data, making a special focus on quantitative effects of commodity price dynamics. There is a widespread belief that economic activity in Russia crucially depends on oil prices, but quantitative estimates are scarce. We estimate an oil ...
Added: September 26, 2014
, , Journal of Economics and Econometrics 2017 Vol. 60 No. 1 P. 1-27
New simple forms of deviation from rational expectations (RE) are suggested: temporary near-rational expectations (TNRE) and persistent near-rational expectations (PNRE). The medium-scale DSGE model was estimated with the RE, the TNRE and the PNRE. It was estimated with and without observations from the survey's expectations. The quality of the out-of-sample forecasts was estimated. It is ...
Added: October 3, 2017
, , Dating Business Cycle Turning Points for the French Economy: a MS-DFM approach / . 2014.
The purpose of this paper is to develop a tool that would permit to identify the turning points of the business cycle of the French economy in a more timely and transparent manner than the existing institutions, such as OECD, do. We use the basic two-regime Markov Switch- ing Dynamic Factor Model and estimate it ...
Added: October 20, 2014
, , Indices of Regional Economic Activity for Russia / Высшая школа экономики. Series EC "Economics". 2017. No. 169.
Regional statistics published by the Russian Federal State Statistics Service (Rosstat) are reviewed in terms of quality, and radical disagreement between “month-on-month” and “year-on-year” monthly statistics is identified. In view of this, an original method is proposed for estimating the level of Regional Economic Activity (REA), based on monthly official regional statistics in five key ...
Added: August 9, 2017
Моделирование трансмиссионного канала монетарной политики в условиях несовершенства финансового рынка
, Экономические науки 2010 № 68 С. 29-35
В статье представлена динамическая стохастическая модель общего равновесия (DSGE), учитывающая несовершенства на финансовых рынках, неполный эффект переноса валютного курса на внутренние цены, экспортоориентированность экономики и наличие Резервного фонда и Фонда национального благосостояния. Модель может быть использована для анализа и определения путей повышения эффективности трансмиссионного механизма монетарной политики в России. Мировой экономической кризис поставил ряд вопросов перед ...
Added: October 14, 2012
Leading indicators of turning points of the business cycle: panel data analysis for OECD countries and Russia
, Leading indicators of turning points of the business cycle: panel data analysis for OECD countries and Russia / Высшая школа экономики. Series EC "Economics". 2014.
The main objective of this paper is to develop leading indicators of business cycle turning points for OECD countries and Russia, in order to reveal common factors of their macroeconomic processes over a long period of time. To predict cycle turning points, leading indicator models with a discrete dependent variable reflecting a business cycle phase ...
Added: February 20, 2014
, Прикладная эконометрика 2014 Т. 36 № 4 С. 3-31
This paper presents a three-sector DSGE model for a small open economy under the intermediate exchange rate regime. The central bank balance sheet equations are added to allow introducing two different monetary policy rules in the model. The principal question is how many independent monetary policy rules do we need to describe Russian monetary policy ...
Added: October 10, 2014
, , Journal of International Scientific Publications: Economy & Business 2014 Vol. 8 P. 399-412
It is now widely accepted that modern economic science failed to foresee the financial and economic crisis of 2008-2009. However it is appear that there is still a lack of understanding fundamental causes of this crush and its aftermath. The available standard forecasting models and theories for the growth of the global economy are barely ...
Added: October 15, 2014
, The Change of Fiscal Multiplier When Switching from Managed Exchanged Rate to the Floating One / . 2018.
Added: February 5, 2019
, Those Unpredictable Recessions / Высшая школа экономики. Series EC "Economics". 2011. No. 02.
Contemporary global economic life is measured in days and hours, but most common economic indicators have inevitable lags of months and sometimes quarters (GDP). Moreover, the real-time picture of economic dynamics may differ in some sense from the same picture in its historical perspective, because all fluctuations receive their proper weights only in the context ...
Added: August 28, 2012
Новый кейнсианский подход и влияние финансового сектора на реальную экономику в современных условиях
, Экономические науки 2010 № 73 С. 384-388
Автор выявляет отличительные черты нового кейнсианского подхода, отличные от традиционных подходов макроэкономического моделирования; представляет базовую кейнсианскую модель; исследует попытки включения решающей роли финансового сектора в новую кейнсианскую модель. Подчеркивает необходимость моделирования решающего влияния финансового сектора на экономическую динамику в условиях современного финансового кризиса. ...
Added: October 14, 2012
Discerning ‘Turning Points’ with Cyclical Indicators: A few Lessons from ‘Real Time’ Monitoring the 2008–2009 Recession
, Discerning ‘Turning Points’ with Cyclical Indicators: A few Lessons from ‘Real Time’ Monitoring the 2008–2009 Recession / Высшая школа экономики. Series WP2 "Количественный анализ в экономике". 2011. No. 03.
The cyclical indicators approach has been used for decades but the last recession has once more rekindled an interest for them throughout the world. Several new techniques and indicators were introduced in recent years but the actual quality of these ‘newcomers‘ was not well established. During the last recession, performance of such ‘veterans’ as indexes ...
Added: December 26, 2012
, , , Долгосрочный перенос курса в цены / . 2021.
Various empirical findings suggest that the short-term exchange rate pass-through to prices is quite low. However, can we extrapolate this conclusion to the long term? According to the results of our study, no. To show it, we developed and estimated the static general equilibrium model which includes two effects of real price rigidity for explaining ...
Added: January 27, 2022
, Вопросы экономики 2013 № 7
The objective of this study is to develop a system of leading indicators of the business cycle turning points on a wide range of countries, including Russia, over a more than thirty years period. We use a binary choice model with the dependent variable of the state of economy: the recession, there is no recession. ...
Added: June 6, 2013
, , Вопросы статистики 2021 Т. 28 № 2 С. 24-41
The article proposes a new set of composite indicators-predictors in business tendency surveys, which allow identifying early information signals of a cyclical nature in the economic behavior of business agents. The main criterion for the efficiency of such indicators is their sensitivity to a cyclical pattern and changes in the dynamics of statistical referents. Property ...
Added: May 11, 2021
, , Журнал институциональных исследований 2011 Т. 3 № 4 С. 34-47
The paper represents the review of contemporary approaches to the analysis of financial market imperfections and financial crises and their impact on fluctuations of the key macroeconomic variables during the business cycle as well as the transmission mechanism of financial shocks on the real economy in the framework of New Keynesian dynamic stochastic general equilibrium ...
Added: November 17, 2012
, Predicting US Recessions: Does a Wishful Bias Exist? / Высшая школа экономики. Series EC "Economics". 2014. No. 77.
There is evidence in the economic literature that near cyclical peaks an optimistic bias exists in private expert forecasts of real GDP growth rates. Other evidence concerns differences in the accuracy of GDP forecasts made during expansions and those made during contractions. It has also been hypothesized that a wishful bias may hamper the ability ...
Added: November 28, 2014
М. : Юрайт, 2013
В учебнике дано систематизированное изложение основных макроэкономических концепций и моделей, составляющих содержание стандартного курса макроэкономики вводного и первого уровней. Материал книги дает возможность получить целостное представление о принципах функционирования экономики и основных направлениях экономической политики государства. В отличие от аналогичных изданий в данном учебнике наиболее объемными являются две первые главы. В них рассматриваются основные экономические ...
Added: March 28, 2013
, , , Explaining the Dynamics in Perceptions of Job Insecurity in Russia / Institute for the Study of Labor. Series IZA DP "Discussion Paper". 2012. No. 6422.
Contrary to the experiences of other countries, perceptions of job insecurity in Russia were not correlated with the rates of unemployment and the business cycle over the last decade. We develop the theoretical framework that predicts that the individual perceptions of job insecurity depend on regional unemployment rates and on the within-group variance of wage ...
Added: December 13, 2012
, Экономический журнал Высшей школы экономики 2010 Т. 14 № 2 С. 185-201
The article demonstrates that cyclical fluctuation of industrial outputs (consumer products, equipments, materials and supplies) have important, specific features in Russian and US's economies. The result allows to better understand the formation of business cycles of national economies within their structural peculiarity. Based on statistical analysis of physical industrial output (for Russia relevant indexes were ...
Added: October 13, 2012
, , Forecasting Russian macroeconomic indicators with BVAR / National Research University Higher School of Economics. Series WP BRP "Basic research program". 2015. No. 105.
This paper evaluates the forecast performance of Bayesian vector autoregressions on Russian data. We estimate BVAR models of different size and compare the accuracy of their out-of-sample forecasts with those obtained with unrestricted VARs and RW with drift. We show that many Russian macroeconomic indicators can be forecast by Bayesian VAR more accurately than by ...
Added: October 23, 2015
This volume focuses on the analysis and measurement of business cycles in Brazil, Russia, India, China and South Africa (BRICS). Divided into five parts, it begins with an overview of the main concepts and problems involved in monitoring and forecasting business cycles. Then it highlights the role of BRICS in the global economy and explores ...
Added: June 21, 2016