A Bivariate Forecasting Model For Russian GDP Under Structural Changes In Monetary Policy and Long-Term Growth
Nikita Fokin () and
MPRA Paper from University Library of Munich, Germany
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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
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)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:95306
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().