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A Bivariate Forecasting Model For Russian GDP Under Structural Changes In Monetary Policy and Long-Term Growth

Nikita Fokin () and Andrey Polbin

MPRA Paper from University Library of Munich, Germany

Abstract: This paper estimates a bivariate econometric model to describe Russia’s real GDP while taking account of the Russian economy’s high dependence on oil prices, monetary policy regime change, and economic growth slowdown. We follow the theory of long-run neutrality of monetary policy and assume that the Bank of Russia’s monetary policy regime change in late 2014 has influenced only the short-run relationship between Russia’s GDP and oil prices, but long-run multiplier is invariant to monetary policy. The paper also attempts to take account of the economic growth slowdown in last decade. The model has demonstrated good forecasting performance.

Keywords: monetary policy; Russian economy; terms of trade; ARX model; ECM model; structural breaks (search for similar items in EconPapers)
JEL-codes: E32 E37 E52 (search for similar items in EconPapers)
Date: 2019-04, Revised 2019-04
New Economics Papers: this item is included in nep-cis, nep-for, nep-mac and nep-tra
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https://mpra.ub.uni-muenchen.de/95306/1/MPRA_paper_95306.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/95794/1/MPRA_paper_95794.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:95306

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