A macroeconometric model for Russia
The paper outlines a structural macroeconometric model for the economy of Russia. The aim of the research is to analyze how the domestic economy functions, generate forecasts for important macroeconomic indicators and evaluate the responses of main endogenous variables to various sho...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Voprosy Ekonomiki
2020-06-01
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| Series: | Russian Journal of Economics |
| Online Access: | https://rujec.org/article/47009/download/pdf/ |
| Summary: | The paper outlines a structural macroeconometric model for the economy of Russia. The aim of the research is to analyze how the domestic economy functions, generate forecasts for important macroeconomic indicators and evaluate the responses of main endogenous variables to various shocks. The model is estimated based on quarterly data starting from 2001 to 2019. The majority of the equations are specified in error correction form due to the non-stationarity of variables. Stochastic simulation is used to solve the model for expost and ex-ante analysis. We compare forecasts of the model with forecasts generated by the VAR model. The results indicate that the present model outperforms the VAR model in terms of forecasting GDP growth, inflation rate and unemployment rate. We also evaluate the responses of main macroeconomic variables to VAT rate and world trade shocks via stochastic simulation. Finally, we generate ex-ante forecasts for the Russian economy under the baseline assumptions. |
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| ISSN: | 2405-4739 |