Эконометрическая оценка влияния шоков на рынке нефти на макроэкономические показатели Российской Федерации с помощью GVAR моделирования

The Impact of Oil Market Shocks on the Macroeconomic Indicators of the Russian Federation: GVAR Approach

Andrey Zubarev and Maria Kirillova

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we use a global vector autoregression (GVAR) model to study the response of Russian macroeconomic indicators to external shocks. The model includes individual models for the world's largest economies and a model for the oil market. Our specification takes into account the peculiarities of the Russian economy and the persistence of variables in the oil market. We also obtained the impulse response functions to the oil supply shock in Saudi Arabia.

Keywords: global vector autoregression; GVAR; oil prices; GDP; oil production; impulse response function (search for similar items in EconPapers)
JEL-codes: C32 E17 F47 (search for similar items in EconPapers)
Date: 2021-10-30, Revised 2021-11-01
New Economics Papers: this item is included in nep-cis, nep-ene and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:110410

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