Multivariate Unobserved Component Model for an Oil-exporting Economy: The Case of Russia

Andrey Polbin

MPRA Paper from University Library of Munich, Germany

Abstract: This paper presents an unobserved component model for real GDP, real household consumption, and real investment of an oil-exporting economy. The model decomposes domestic variables’ dynamics into permanent and transitory components, accounting for dependence on oil prices in the short and long-run, as well as for the common long-run economic growth and the common cyclical behavior. Estimated on the Russian macroeconomic variables, the model exhibits strong dependence on oil prices.

Keywords: oil prices; GDP; consumption; investment; unobserved component model; common growth (search for similar items in EconPapers)
JEL-codes: C13 C32 C51 E20 (search for similar items in EconPapers)
Date: 2020-03
New Economics Papers: this item is included in nep-cis, nep-ene, nep-mac and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:99381

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