Bayesian approach to evaluate the impact of external shocks on Russian macroeconomics indicators

Shevelev A.A. ()
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Shevelev A.A.: Новосибирский государственный университет

World of economics and management / Vestnik NSU. Series: Social and Economics Sciences, 2017, vol. 17, issue 1, 26-40

Abstract: One of the promising approaches of macroeconomic modeling and quantitative assessment of the impact of external and internal factors on macroeconomy of a country, which is actively used abroad, is a Bayesian approach to the description of macroeconomic processes. In this paper we examine Bayesian vector autoregression model (BVAR) to assess the impact of external shocks, such as the price of Brent crude oil, the volatility index VIX and the Shanghai Stock Exchange Composite index, on Russian macroeconomic indicators. The results allow us to estimate the contribution of external factors as a significant in the dynamics of Russia economic variables. This approach can be successfully applied for the analysis of Russian data, which was confirmed by the results presented in the article.

Keywords: BVAR; Bayesian methods; external shocks; macroeconomics; Minnesota prio (search for similar items in EconPapers)
JEL-codes: C11 C32 E10 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:nos:wjflnh:2017_1_03e

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