Shocks of Business Activity and Specific Shocks to Oil Market in DSGE Model of Russian Economy and Their Influence Under Different Monetary Policy Regimes

Daniil Lomonosov ()
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Daniil Lomonosov: Institute of Applied Economic Research, RANEPA

Russian Journal of Money and Finance, 2023, vol. 82, issue 4, 44-79

Abstract: This paper constructs a dynamic stochastic general-equilibrium model (DSGE) of Russian economy with a global oil market and two monetary policy rules. The parameters of the model are estimated using the method of minimising the distance between the theoretical and empirical impulse responses to shocks to global business activity over the time horizon from 1999Q2 to 2013Q4. The DSGE model closely reproduces the responses to global business activity shocks as well as to specific oil market shocks. The impulse responses and historical decomposition indicate a significant reduction in the effects of these shocks on domestic macroeconomic indicators when the monetary policy rule is changed from managed exchange rate to inflation targeting. This is also witnessed by the results of the counterfactual experiment, which compares the impact of the sequence of global activity shocks to Russian economy during the actual change to the monetary policy rule and during the functioning of one monetary policy rule in the period under consideration. The DSGE model constructed can serve as a basis for testing various monetary policy instruments taking into account the impact of oil market shocks and for studying the responses of other macro variables in different sectors of the economy to oil market shocks.

Keywords: Russian economy; DSGE; oil supply shock; global business activity shock; speculative oil demand shock; monetary policy (search for similar items in EconPapers)
JEL-codes: E13 E32 E42 F41 Q43 (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:4:p:44-79

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