Construction of a global vector autoregression with trade and financial relationships between countries and forecasting of Russian macroeconomic indicators

Построение глобальной векторной авторегрессии с учётом торговых и финансовых взаимосвязей между странами для прогнозирования российских макроэкономических показателей

Zubarev, Andrey (Зубарев, Андрей) () and Kirillova, Maria (Кириллова, Мария) ()
Additional contact information
Zubarev, Andrey (Зубарев, Андрей): The Russian Presidential Academy of National Economy and Public Administration
Kirillova, Maria (Кириллова, Мария): The Russian Presidential Academy of National Economy and Public Administration

Working Papers from Russian Presidential Academy of National Economy and Public Administration

Abstract: The purpose of this research is to analyze the impact of external shocks on the Russian economy and build forecasts for the dynamic of Russian macroeconomic variables within the framework of a global vector autoregression model. In this study, special attention is focused on including channels for transmitting not only real but also financial shocks into the model by using different weights for aggregating variables. Also, the model for the Russian economy has been expanded by including not only variables of the real sector, but also indicators of the inflation rate and interest rate. The results provide impulse response functions for Russian indicators in response to a US interest rate shock.

Keywords: external shocks; financial linkages; trade linkages; global autoregression (search for similar items in EconPapers)
JEL-codes: C32 E17 F47 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2023
New Economics Papers: this item is included in nep-cis
References: Add references at CitEc
Citations:

Downloads: (external link)
https://repec.ranepa.ru/rnp/wpaper/w20220275.pdf
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rnp:wpaper:w20220275

Access Statistics for this paper

More papers in Working Papers from Russian Presidential Academy of National Economy and Public Administration Contact information at EDIRC.
Bibliographic data for series maintained by RANEPA maintainer ().