Forecasting Russian GDP, Inflation, Interest Rate, and Exchange Rate Using DSGE-VAR Model

Artur Sharafutdinov ()
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Artur Sharafutdinov: Bank of Russia; RANEPA

Russian Journal of Money and Finance, 2023, vol. 82, issue 3, 62-86

Abstract: This paper compares, on Russian quarterly data for 2003–2021, the forecast performance of a small-scale dynamic stochastic general equilibrium model (DSGE model) and the DSGE-VAR model as a Bayesian vector autoregression (VAR) which uses priors from this DSGE model. The forecast performance of the DSGE-VAR model turns out to be higher than that of the DSGE model for output growth and inflation over the one-year horizon and for the interest rate and exchange rate over a two-year horizon. Meanwhile, the DSGE-VAR model, on average, predicts GDP, inflation, and the exchange rate better and the interest rate worse than the first-order autoregressive model that serves as a benchmark.

Keywords: forecasting; DSGE-VAR; DSGE; BVAR; Russian economy (search for similar items in EconPapers)
JEL-codes: C53 E37 E47 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:bkr:journl:v:82:y:2023:i:3:p:62-86

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