Are commodity price shocks important? A Bayesian estimation of a DSGE model for Russia

Oxana Malakhovskaya and Alexey Minabutdinov ()
Additional contact information
Alexey Minabutdinov: National Research University Higher School of Economics

HSE Working papers from National Research University Higher School of Economics

Abstract: 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)
Pages: 60 pages
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Published in WP BRP Series: Economics / EC, December 2013, pages 1-60

Downloads: (external link)
http://www.hse.ru/data/2014/12/23/1104074281/48EC2013.pdf (application/pdf)

Related works:
Journal Article: Are commodity price shocks important? A Bayesian estimation of a DSGE model for Russia (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hig:wpaper:48/ec/2013

Access Statistics for this paper

More papers in HSE Working papers from National Research University Higher School of Economics
Bibliographic data for series maintained by Shamil Abdulaev () and Shamil Abdulaev ().