Developing and impulse response matching estimation of the DSGE model for the Russian economy

Andrey Polbin and Sergey Sinelnikov-Murylev
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Sergey Sinelnikov-Murylev: Gaidar Institute for Economic Policy

Research Paper Series, 2023, issue 182P, 53

Abstract: The paper proposes a two-sector macroeconomic model of the Russian economy, which is built using the standard assumptions of New Keynesian DSGE models used to model household consumption, price and wage rigidities, and endogenous capital utilization. Two options for describing the investment process are considered: the traditional approach with the investment adjustment costs and the approach using the investment accelerator model. The model parameters are calibrated based on minimizing the distance between the theoretical and "empirical" impulse response functions to the terms of trade shock derived from estimating simple ARX models with terms of trade as an exogenous variable. The constructed model quite accurately reproduces the influence of the terms of trade on the Russian economy for both investment modeling options. Based on the calibrated model, the impact on macroeconomic indicators of the monetary policy shock and the terms of trade shock under the regime of a fixed nominal ruble exchange rate is analyzed. In addition, a historical decomposition of the dynamics of macroeconomic indicators was built according to an extended set of structural shocks of a set of economic variables.

Keywords: Russian economy; DSGE model (search for similar items in EconPapers)
JEL-codes: C11 E32 E40 E47 F41 (search for similar items in EconPapers)
Date: 2023
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https://www.iep.ru/files/RePEc/gai/rpaper/rpaper-2023-182P-1300.pdf Revised Version, 2023 (application/pdf)

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Journal Article: Developing and impulse response matching estimation of the DSGE model for the Russian economy (2024)
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