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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.

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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.

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