Global inflation and Russian macroeconomic indicators: FAVAR framework

Изучение связи глобальных инфляционных процессов и российских макроэкономических показателей в рамках динамической факторной модели

Rybak, Konstantin (Рыбак, Константин) ()
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Rybak, Konstantin (Рыбак, Константин): 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 global inflation and foreign monetary policy on Russian macroeconomic variables. This study provides a review and systematization of literature related to the identification and estimation of the external global shocks impact on the macroeconomic indicators of an individual economy, as well as literature related to global inflation processes. Exploiting factor augmented vector autoregression methodology we estimate impulse responses functions of Russian economy to various global shocks.

Keywords: global model; external shocks; factor model (search for similar items in EconPapers)
JEL-codes: C32 E17 F47 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2023
New Economics Papers: this item is included in nep-cis and nep-mon
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