Forecasting for the Russian Economy Using Small-Scale DSGE Models

Dmitry Kreptsev () and Sergei Seleznev
Additional contact information
Dmitry Kreptsev: Bank of Russia

Russian Journal of Money and Finance, 2018, vol. 77, issue 2, 51-67

Abstract: This study examines the ability of a small-scale DSGE model to forecast the dynamics of key macroeconomic variables for the Russian economy. The study uses two versions of a standard model of a small open economy, adding a stochastic oil price trend under various assumptions about exchange rate policy. Comparison with the same size BVAR model shows DSGE models to be superior as regards exchange rate, price and interest rate forecasting and slightly inferior with respect to GDP forecasting.

Keywords: Non-stationary DSGE; BVAR; forecasting (search for similar items in EconPapers)
JEL-codes: C61 E37 E47 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
https://rjmf.econs.online/upload/iblock/a27/RJMF_77-02_ENG_Kreptsev.pdf

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:bkr:journl:v:77:y:2018:i:2:p:51-67

DOI: 10.31477/rjmf.201802.51

Access Statistics for this article

Russian Journal of Money and Finance is currently edited by Ksenia Yudaeva

More articles in Russian Journal of Money and Finance from Bank of Russia Contact information at EDIRC.
Bibliographic data for series maintained by Olga Kuvshinova ().