Оценивание влияния внешних шоков на российскую экономику с помощью модели GVAR

Estimating the impact of external shocks on Russian economy: GVAR approach

Andrey Zubarev and Maria Kirillova

MPRA Paper from University Library of Munich, Germany

Abstract: The relationship between the economies of various countries and their dependence on the world markets indicate that for econometric analysis of the impact of external shocks on a particular economy, it is necessary to use a model of the global economy. The aim of this paper is to build a global vector autoregression model (GVAR), including Russia as one of the regions, and to obtain the impact of some external economic shocks on Russian macroeconomic indicators. We build a model that includes 41 of the world's major economies, including Russia, and the oil market. The special features of our model are structural shifts in the dynamics of Russian output and the new specification of oil supply and oil demand. Impulse response functions are used to obtain quantitative estimates. In this paper, we analyze the reaction of outputs, oil production volumes and oil prices in response to the output shock of the United States. In response to the negative shock of output in the world's leading economy, outputs in the rest of the world declined for at least the first year after the shock. There was also a significant decline in oil prices and no significant change in oil production volumes in most countries.

Keywords: global vector autoregression; GVAR; oil prices; GDP; oil production; impulse response function (search for similar items in EconPapers)
JEL-codes: C32 E17 (search for similar items in EconPapers)
Date: 2022-05-01, Revised 2022-07-01
New Economics Papers: this item is included in nep-cis and nep-ene
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