Multivariate unobserved component model for an oil-exporting economy: the case of Russia

Andrey Polbin

Applied Economics Letters, 2021, vol. 28, issue 8, 681-685

Abstract: This paper presents an unobserved component model for real GDP, real household consumption, and real investment of an oil-exporting economy. The model decomposes domestic variables’ dynamics into permanent and transitory components, accounting for dependence on oil prices in the short and long-run, as well as for the common long-run economic growth and the common cyclical behaviour. Estimated on the Russian macroeconomic variables, the model exhibits a strong dependence on oil prices.

Date: 2021
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Working Paper: Multivariate Unobserved Component Model for an Oil-exporting Economy: The Case of Russia (2020)
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DOI: 10.1080/13504851.2020.1770678

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