The impact of global shocks on the Russian economy: FAVAR approach

Andrey Zubarev and K. Rybak
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K. Rybak: Russian Presidential Academy of National Economy and Public Administration, Moscow, Russia

Journal of the New Economic Association, 2022, vol. 56, issue 4, 48-68

Abstract: In this study, we estimate the contribution of global demand, supply and commodity shocks to the dynamics of Russian macroeconomic variables. The main tool used in this work is a factor augmented vector autoregression (FAVAR) that allows extracting global factors from a wide range of variables. Recursive and sign restrictions are used to identify global shocks. Russian economy is represented by a large set of informational series aggregated into a small number of factors. FAVAR approach allows for extended inference on the reaction of Russian macroeconomic variables to global shocks. Impulse response function analysis shows that Russian economy is affected by all three specified global shocks and forecast error decompositions indicate that those shocks account for nearly 80 percent of key variables dynamics. We also showed that global demand and global commodity shocks were more crucial compared to the third type of shocks in explaining macroeconomic dynamics.

Keywords: demand shock; supply shock; commodity shock; FAVAR; Russian economy (search for similar items in EconPapers)
JEL-codes: C32 E20 F41 O47 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:nea:journl:y:2022:i:56:p:48-68

DOI: 10.31737/2221-2264-2022-56-4-3

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