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DSGE Model of the Russian Economy with the Banking Sector

Dmitry Kreptsev () and Sergei Seleznev ()
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Dmitry Kreptsev: Bank of Russia, Russian Federation
Sergei Seleznev: Bank of Russia, Russian Federation

No wps27, Bank of Russia Working Paper Series from Bank of Russia

Abstract: This paper presents the DSGE model of the Russian economy with the banking sector which the Bank of Russia uses for simulation experiments. We show how the introduction of the banking sector changes impulse responses of a standard DSGE model of a small open economy. We also demonstrate that the model has fairly good predictive power. The model enables us to study the effect of banking sector-specific shocks on the economy. Estimation on Russian data has led us to conclude that in this model such shocks did not have a significant effect on the real economy’s variables in the period under observation spanning years from 2006 to 2016.

Keywords: DSGE; BVAR; Russia’s economy; financial frictions; banking sector. (search for similar items in EconPapers)
JEL-codes: C61 E37 E47 G10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-cis, nep-dge and nep-mac
Date: 2017-12
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