Bayesian estimation of monetary policy in Russia

Rodion Lomivorotov ()
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Rodion Lomivorotov: Higher School of Economics, Moscow;

Applied Econometrics, 2015, vol. 38, issue 2, 41-63

Abstract: In this research we implement Bayesian Vector Autoregressive model (BVAR) to analyze effect of internal and external shocks on Russian economy. This method allows to identify main transmission channels of monetary policy changes, as well as external shocks. Compared with traditional methods BVAR provides more consistent and accurate identifications for models with large number of variables and estimated on small samples. Bayesian model also produce more accurate out-of-sample forecasts compared with traditional SVAR model, FAVAR and Random Walk.

Keywords: monetary policy; external shocks; Bayesian estimation; forecasts (search for similar items in EconPapers)
JEL-codes: C33 H25 O30 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:0264

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