Developing and impulse response matching estimation of the DSGE model for the Russian economy

Andrey Polbin and Sergey Sinelnikov-Murylev ()
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Sergey Sinelnikov-Murylev: Russian Foreign Trade Academy, Gaidar Institute for Economic Policy, Moscow, Russian Federation;

Applied Econometrics, 2024, vol. 73, 5-34

Abstract: he paper proposes a two-sector macroeconomic model of the Russian economy based on the standard assumptions of New Keynesian DSGE models used to model household consumption, price and wage rigidities, and endogenous capital utilization. We consider two options for describing the investment process: the traditional approach with the investment adjustment costs and the approach using the investment accelerator model. The model parameters are calibrated based on minimizing the distance between the theoretical and “empirical” impulse response functions to the terms of trade shock derived from estimating simple ARX models with terms of trade as an exogenous variable. The constructed model quite accurately reproduces the influence of the terms of trade on the Russian economy for both investment modeling options. Based on the calibrated model, the authors examined the impact of a monetary policy shock on macroeconomic indicators and constructed a historical decomposition of the dynamics of macroeconomic indicators by an extended set of structural shocks to economic variables.

Keywords: DSGE models; investment accelerator; oil prices; terms of trade; Russian economy; monetary policy (search for similar items in EconPapers)
JEL-codes: C11 E32 E40 E47 F41 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Journal Article: Developing and impulse response matching estimation of the DSGE model for the Russian economy (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:0489

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