Estimating the impact of terms of trade news shocks on the Russian economy

Deni Sugaipov ()
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Deni Sugaipov: RANEPA, Moscow, Russian Federation
Authors registered in the RePEc Author Service: Дени Сугаипов

Applied Econometrics, 2022, vol. 66, 39-67

Abstract: This paper examines the impact of terms of trade news shocks on the dynamics of output, consumption, investment, trade balance and exchange rate in Russia. News in recent work are understood as the emergence of information about future changes in the economy. To identify expected shocks, we maximize the forecast error variance share of terms of trade time series over a finite horizon of several quarters. The results indicate that news shocks have a significant effect on the Russian economy and explain almost 60% of the variance of the main indicators

Keywords: news shocks; terms of trade; business cycles; maximum forecast error variance share (search for similar items in EconPapers)
JEL-codes: D84 E32 F41 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:0445

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