Estimating the Influence of Different Shocks on Macroeconomic Indicators and Developing Conditional Forecasts on the Basis of BVAR Model for the Russian Economy

Оценка влияния различных шоков на динамику макроэкономических показателей в России и разработка условных прогнозов на основе BVAR-модели российской экономики

Pestova, Anna (Пестова, Анна) and Mamonov, Mikhail (Мамонов, Михаил)
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Pestova, Anna (Пестова, Анна): Center for macroeconomic analysis and short-term forecasting (CMASF) at the Institute for Economic Forecasting of the Russian Academy of Sciences
Mamonov, Mikhail (Мамонов, Михаил): National Research University "Higher School of Economics"

Ekonomicheskaya Politika / Economic Policy, 2016, vol. 4, 56-92

Abstract: In this paper, we investigate the influence of internal and external shocks on macroeconomic indicators of Russian economy using Bayesian vector autoregression (BVAR) model. We develop conditional medium-term forecasts (scenarios, up to 2017) and then compare the forecasting outcomes achieved in BVAR under these scenarios with respective official forecasts of the Ministry of Economic Development (MED) of the Russian Federation. Our results indicate that within the similar scenario conditions our proposed BVAR predicts (1) a deeper and (2) more prolonged recession on the medium-term forecasting horizon as compared to the MED’s forecasts. Our comparative analysis allowed us to reveal the bottlenecks in the forecasting methodologies applied both in the MED’s model and in our BVAR model, which seriously worsen the quality of forecasts.

Keywords: Bayesian vector autoregression; internal and external shocks; conditional (scenario) forecasts (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 E58 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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