Forecasting Russian macroeconomic indicators with BVAR
Basic research program. WP BRP. National Research University Higher School of Economics , 2015. No. 105.
Demeshev B., Malakhovskaya O. A.
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 competitor models. However, contrary to several other studies, we do not confirm that relative forecast error monotonically decreases with the dimension of the sample. In half of those cases where BVAR appears to be the most accurate model, a small-dimensional BVAR outperforms its high-dimensional counterpart.
, Вопросы экономики 2016 № 12 С. 129-146
The article compares the accuracy of point forecasts made with a structural dynamic stochastic general equilibrium model (DSGE) to those made with vector autoregressions estimated by OLS (VAR) and by Bayesian methods (BVAR).The main question addressed in the article is whether DSGE-based forecasts are as accurate as non-structural model forecasts. The comparison is made on ...
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, , Вестник Самарского государственного экономического университета 2012 № 6(92) С. 14-17
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Added: December 17, 2012
Краткосрочное прогнозирование производства с использованием комплекснозначной модели производственной функции
, , Экономика и предпринимательство 2015 № 4 (ч.1) С. 486-488
Article considers problems of an assessment of efficiency of company’s activity on the basis of complex indicators of production results and resources. Tools of complex-valued economy – the new scientific direction having the theory of functions of complex variables as the basis – are used to modeling of economic dependences. The properties of exponential production ...
Added: June 5, 2015
Метод прогнозирования вероятностей актуализации последствий принятых решений в условиях неопределенности
, Менеджмент в России и за рубежом 2013 № 6 С. 21-29
A new method to predict the probabilities of future events that are consequences of the subject, are presented. The method is based on combining the two types of forecasts – forecasted events using statistical data predictions for previous periods, as well as subjective, using expert estimates, using new information. Shows that an objective forecast is ...
Added: September 2, 2013
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Added: April 21, 2013
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, , Вестник Ростовского государственного экономического университета (РИНХ) 2015 № 2 С. 131-137
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Method for estimating the probabilities of future events is developed. It is shown that in the presence of statistical data on the accuracy of past forecasts, the probabilities of future events are eigenvector of matrix for accuracy expert corresponding to its eigenvalue. ...
Added: September 2, 2013
Концепция/технология совместного планирования, прогнозирования и пополнение запасов (CPFR) как пример интеграции партнеров в цепи поставок
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Recently the technology «Mutual planning, forecasting and stock replenishment» is attracting more and more attention of logisticians, marketing and strategic management specialists. The basic idea of CPFR consists of combining efforts of contactors within constructed supply chain for satisfying needs of clients by integrating basic marketing and logistic business processes. The aim of the article ...
Added: December 14, 2012
, , , Technological Forecasting and Social Change 2015 Vol. 95 P. 294-308
The role of China in the world economy is constantly growing. In particular we observe that it plays more and more important role in the support of theworld economic growth (as well as high prices of certain very important commodities). In the meantime the perspectives of the Chinese economy (as well as possible fates of ...
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Inverse problems in Pareto’s demand theory and their applications to analysis of stock market crises
, , , Journal of Inverse and Ill-posed problems 2016 Vol. 26 No. 1 P. 95-108
We develop an approach to analysis of stock market crises based on the generalized nonparametric method. The generalized nonparametric method is based on solvability and regularization of ill-posed inverse problem in Pareto's demand theory. Our approach allows one to select a few companies that may be considered as the main reason for the crisis. We ...
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, , Демографическое обозрение 2019 Т. 6 № 2 С. 104-141
According to the May Presidential Decree (2018), one of the national goals and strategic objectives of the development of the Russian Federation for the period up to 2024 is “ensuring sustainable natural growth in the population of the Russian Federation and increasing life expectancy to 78 years”. Thus, the increased need to monitor the current demographic situation, the study ...
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, , Управление экономическими системами: электронный научный журнал 2014 № 72
The paper describes a method of constructing mathematical models for systems of investment decisions. It covers the following types of derivatives: futures, binary options, financial bets. In each case, the input parameters of the model are the values of the derivative observed in the past and broker estimate of market opinion. Decision support is proposed ...
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, , , Foresight 2017 Vol. 19 No. 5 P. 473-490
Purpose Dynamic changes in the world bring challenges for making long-term future-oriented policy and strategy. A number of recent developments like drops in oil prices, increasing global conflicts, mass immigration, and economic stagnation have had disruptive effects on long-term policies and strategies. This new fast-changing landscape requires approaches and tools, which may help to practice adaptive ...
Added: September 12, 2017
, , , European Physical Journal: Special Topics 2012 Vol. 205 No. 1 P. 355-373
The article considers dynamic processes involving non-linear power-law behavior in such apparently diverse spheres, as demographic dynamics and dynamics of prices of highly liquid commodities such as oil and gold. All the respective variables exhibit features of explosive growth containing precursors indicating approaching phase transitions/catastrophes/crises. The *rst part of the article analyzes mathematical models of demographic ...
Added: March 7, 2013
Сравнение случайного блуждания, VAR, BVAR Литтермана при прогнозировании выпуска, индекса цен и процентной ставки
, , Сравнение случайного блуждания, VAR, BVAR Литтермана при прогнозировании выпуска, индекса цен и процентной ставки / Высшая школа экономики. Серия WP12 "Научные доклады лаборатории макроэкономического анализа". 2015. № 3.
This paper compares the forecasting performance of random walk, frequentist vector autoregression (VAR), and Bayesian vector autoregression with Minnesota prior (BVAR) models while forecasting the industrial production index, consumer price index and the interbank interest rate. We show that the BVAR provides a more accurate forecast than the standard VAR. For all three macroindicators of ...
Added: December 19, 2015
Прогнозирование добычи природного газа ПАО «Газпром» и его производственного потенциала в условиях внешнеэкономических ограничений
, Экономика и математические методы 2017 Т. 53 № 4 С. 26-35
This study is devoted to forecasting the Russian Gazprom natural gas production from the Tyumen region's fields and its production potential under in the context of the Russian economy crises and foreign economic restrictions that has been occurred since 2014, including a reduction in external and domestic demand for all Russian natural gas as well ...
Added: August 31, 2017
, , , 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 ...
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, , , Assessing Forecasting Performance of Business Tendency Surveys during the Great Recession: Evidence for Russia / KOF Swiss Economic Institute. Series KOF "KOF Working Papers". 2012. No. 306.
This study investigates usefulness of business tendency surveys in industrial sector for out-of-sample prediction of growth of industrial production in Russia. A special attention is paid to performance of survey-augmented models during the recent Great Recession 2008/2009. Using the real-time data vintages of the index of industrial production in Russia we conclude that the use ...
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This work is devoted to the analysis and forecasting of the main indicators of the Russian stock market ‒ the indices of the Russian Trading System and the Moscow Interbank Currency Exchange. Autoregressive models with distributed lags describing the behavior of these indices are constructed. On the basis of the proposed models, a retrospective forecasting ...
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This research is devoted to the investigation of the changes in the nature of the largest Russian banks policies regarding the control of risks and capital adequacy caused by the implementation of the new international business standards. The dynamic analysis of indicators used by banks internally for the capital adequacy assessment was performed within this ...
Added: November 27, 2017
, , Wishful Bias in Predicting US Recessions: Indirect Evidence / Высшая школа экономики. Series EC "Economics". 2016. No. 135.
There is evidence in the economic literature that professional forecasters are unsuccessful in predicting recessions, but the reasons for these failures are still not clear. Meanwhile, this phenomenon has been little studied on the basis of quarterly estimates for various target horizons. We analysed quarterly consensus forecasts of real GDP growth rates and probabilities of ...
Added: May 19, 2016
, , Экономический журнал Высшей школы экономики 2016 Т. 20 № 4 С. 691-710
This paper compares the forecasting performance of random walk, frequentist vector autoregression (VAR), and Bayesian vector autoregression with Minnesota prior (BVAR) models on quarterly Russian data sample running from 1995 to 2014. Maximal number of variables included in the model is equal to 14 that requires an endogenous search of optimal shrinkage hyperparameter. The search ...
Added: December 9, 2016
, , , Пермь: Пермский государственный университет, 2011
Пособие подготовлено авторами на основе опыта преподавания эконометрики для студентов экономических факультетов ПермГНИУ и НИУ ВШЭ – Пермь. В учебном пособии изложены основные сведения по разделам курса «Эконометрика». Помимо необходимого теоретического материала приведено много примеров практического применения теоретических результатов. Большое количество практических примеров, приложений и статистических таблиц, а также заданий для самостоятельной работы студентов призвано ...
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, , , Экономический журнал Высшей школы экономики 2018 Т. 22 № 3 С. 418-447
The paper describes the new version of the model of the Russian banking system, which successfully reproduces a wide set of parameters characterizing its performance: loans and deposits of firms and households, liquidity nominated both in rubles and in foreign currency, mandatory reserves. We describe the technique of derivation of model relations, which includes the ...
Added: November 1, 2018