Forecasting for the Russian Economy Using Small-Scale DSGE Models
Dmitry Kreptsev () and
Sergei Seleznev ()
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Dmitry Kreptsev: Bank of Russia
Sergei Seleznev: Bank of Russia
Russian Journal of Money and Finance, 2018, vol. 77, issue 2, 51-67
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: Nonstationary DSGE; BVAR; forecasting (search for similar items in EconPapers)
JEL-codes: C61 E37 E47 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:bkr:journl:v:77:y:2018:i:2:p:51-67
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