Оценивание влияния внешних шоков на российскую экономику с помощью модели GVAR

Zubarev, Andrey and Kirillova, Maria (2022): Оценивание влияния внешних шоков на российскую экономику с помощью модели GVAR.

Abstract

The relationship between the economies of various countries and their dependence on the world markets indicate that for econometric analysis of the impact of external shocks on a particular economy, it is necessary to use a model of the global economy. The aim of this paper is to build a global vector autoregression model (GVAR), including Russia as one of the regions, and to obtain the impact of some external economic shocks on Russian macroeconomic indicators. We build a model that includes 41 of the world's major economies, including Russia, and the oil market. The special features of our model are structural shifts in the dynamics of Russian output and the new specification of oil supply and oil demand. Impulse response functions are used to obtain quantitative estimates. In this paper, we analyze the reaction of outputs, oil production volumes and oil prices in response to the output shock of the United States. In response to the negative shock of output in the world's leading economy, outputs in the rest of the world declined for at least the first year after the shock. There was also a significant decline in oil prices and no significant change in oil production volumes in most countries.

• Item Type: MPRA Paper
• English Title: Estimating the impact of external shocks on Russian economy: GVAR approach
• Language: Russian
• Keywords: global vector autoregression, GVAR, oil prices, GDP, oil production, impulse response function
• Subjects: 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; E - Macroeconomics and Monetary Economics > E1 - General Aggregative Models > E17 - Forecasting and Simulation: Models and Applications

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