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

Polbin, Andrey (2020): Multivariate Unobserved Component Model for an Oil-exporting Economy: The Case of Russia.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: oil prices; GDP; consumption; investment; unobserved component model; common growth
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E20 - General

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