Are commodity price shocks important? A Bayesian estimation of a DSGE model for Russia
Oxana Malakhovskaya and
Alexey Minabutdinov ()
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Alexey Minabutdinov: National Research University Higher School of Economics
No WP BRP 48/EC/2013, HSE Working papers from National Research University Higher School of Economics
This paper constructs a DSGE model for an economy with commodity exports. We estimate the model on Russian data, making a special focus on quantitative effects of commodity price dynamics. There is a widespread belief that economic activity in Russia crucially depends on oil prices, but quantitative estimates are scarce. We estimate an oil price effect on the Russian economy in the general equilibrium framework. Our framework is similar to those of Kollmann(2001) and Dam and Linaa (2005), but we extend their models by explicitly accounting for oil revenues. In addition to standard supply, demand, cost-push, and monetary policy shocks, we include the shock of commodity export revenues, which are supposed to be like a windfall. The main objective of the paper is to identify the contribution of structural shocks to business cycle fluctuations in the Russian economy. We estimate the parameters and stochastic processes that govern ten structural shocks using Bayesian techniques. The model yields plausible estimates, and the impulse response functions are in line with empirical evidence. We found that despite a strong impact on GDP from commodity export shocks, business cycles in Russia are mostly domestically based.
Keywords: DSGE; business cycles; Bayesian estimation (search for similar items in EconPapers)
JEL-codes: E32 E37 (search for similar items in EconPapers)
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Published in WP BRP Series: Economics / EC, December 2013, pages 1-60
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Journal Article: Are commodity price shocks important? A Bayesian estimation of a DSGE model for Russia (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:hig:wpaper:48/ec/2013
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