A small forward-looking inter-country model (Belarus, Russia and Ukraine)
AbstractThe paper describes an inter-country model developed on the New Keynesian Phillips curve principle for the economies of Belarus, Russia and Ukraine. Technically the modelling idea has been grounded within the concept of the infinite dimensional vector autoregressive models by Chudik and Pesaran [Chudik A., Pesara M.H., 2007. Infinite-dimensional VAR's and factor models. IZA; DP No. 3206]. The main developments are such that the model is 1) interdependent rather than vector autoregressive, 2) estimated by the generalised method of moments and 3) forward-looking. The primary linkage of the country models is provided through the real effective exchange rates of particular countries, while the secondary linkages are through the Chudik and Pesaran cross-sectional augmentations. A series of Monte Carlo experiments confirms that the small cross-dimension of the model and a possible dominance of one country in the panel (Russia) should not distort the results in a significant way. A series of stochastic simulation experiments made with and without the assumption of observational equivalence principle shows a possible spread of the Dutch Disease from Russia to other countries in the model.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Economic Modelling.
Volume (Year): 26 (2009)
Issue (Month): 6 (November)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/30411
Modelling transition economies Inter-country model Forward-looking expectations Dutch Disease;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Fair, Ray C & Taylor, John B, 1983.
"Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models,"
Econometric Society, vol. 51(4), pages 1169-85, July.
- Ray C. Fair & John B. Taylor, 1980. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models," Cowles Foundation Discussion Papers 564, Cowles Foundation for Research in Economics, Yale University.
- Ray C. Fair & John B. Taylor, 1980. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear RationalExpectations Models," NBER Technical Working Papers 0005, National Bureau of Economic Research, Inc.
- Kirill Sosunov & Oleg Zamulin, 2007.
"Monetary Policy in an Economy Sick with Dutch Disease,"
w0101, Center for Economic and Financial Research (CEFIR).
- Kirill Sosunov & Oleg Zamulin, 2007. "Monetary Policy in an Economy Sick with Dutch Disease," Working Papers WP13_2007_07, Laboratory for Macroeconomic Analysis.
- M. Hashem Pesaran & Til Schuermann & L. Vanessa Smith, 2008.
"Forecasting Economic and Financial Variables with Global VARs,"
CESifo Working Paper Series
2263, CESifo Group Munich.
- Pesaran, M. Hashem & Schuermann, Til & Smith, L. Vanessa, 2009. "Forecasting economic and financial variables with global VARs," International Journal of Forecasting, Elsevier, vol. 25(4), pages 642-675, October.
- Pesaran, M.H. & Schuermann, T. & Smit, L.V., 2008. "Forecasting Economic and Financial Variables with Global VARs," Cambridge Working Papers in Economics 0807, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran & Til Schuermann & L. Vanessa Smith, 2008. "Forecasting economic and financial variables with global VARs," Staff Reports 317, Federal Reserve Bank of New York.
- Alexander Chudik & M. Hashem Pesaran, 2009.
"Infinite-dimensional VARs and factor models,"
Working Paper Series
998, European Central Bank.
- Alexander Chudik & M. Hashem Pesaran, 2007. "Infinite Dimensional VARs and Factor Models," CESifo Working Paper Series 2176, CESifo Group Munich.
- Chudik , A. & Pesaran, M.H., 2007. "Infinite Dimensional VARs and Factor Models," Cambridge Working Papers in Economics 0757, Faculty of Economics, University of Cambridge.
- Chudik, Alexander & Pesaran, M. Hashem, 2007. "Infinite Dimensional VARs and Factor Models," IZA Discussion Papers 3206, Institute for the Study of Labor (IZA).
- Wickens, Michael R, 1982. "The Efficient Estimation of Econometric Models with Rational Expectations," Review of Economic Studies, Wiley Blackwell, vol. 49(1), pages 55-67, January.
- Oomes , Nienke & Kalcheva, Katerina, 2007.
"Diagnosing Dutch disease: Does Russia have the symptoms?,"
BOFIT Discussion Papers
7/2007, Bank of Finland, Institute for Economies in Transition.
- Katerina Kalcheva & Nienke Oomes, 2007. "Diagnosing Dutch Disease: Does Russia Have the Symptoms?," IMF Working Papers 07/102, International Monetary Fund.
- L. Lungu & K. G. P. Matthews, 2002.
"Partial Current Information and Signal Extraction in a Rational Expectations Macroeconomic Model: A Computational Solution,"
Computing in Economics and Finance 2002
115, Society for Computational Economics.
- Lungu, L. & Matthews, K.G.P. & Minford, A.P.L., 2008. "Partial current information and signal extraction in a rational expectations macroeconomic model: A computational solution," Economic Modelling, Elsevier, vol. 25(2), pages 255-273, March.
- Lungu, Laurian & Matthews, Kent & Minford, Patrick, 2006. "Partial Current Information and Signal Extraction in a Rational Expectations Macroeconomic Model: A Computational Solution," Cardiff Economics Working Papers E2006/1, Cardiff University, Cardiff Business School, Economics Section.
- Wickens, Michael R, 1986. "The Estimation of Linear Models with Future Rational Expectations by Efficient and Instrumental Variable Methods," CEPR Discussion Papers 111, C.E.P.R. Discussion Papers.
- Gianluca Benigno & Pierpaolo Benigno, 2003.
"Designing targeting rules for international monetary policy cooperation,"
Working Paper Series
279, European Central Bank.
- Benigno, Gianluca & Benigno, Pierpaolo, 2006. "Designing targeting rules for international monetary policy cooperation," Journal of Monetary Economics, Elsevier, vol. 53(3), pages 473-506, April.
- Ray Fair, 2001.
"Optimal Control and Stochastic Simulation of Large Nonlinear Models with Rational Expectations,"
Yale School of Management Working Papers
ysm202, Yale School of Management, revised 24 Sep 2001.
- Ray Fair, 2003. "Optimal Control and Stochastic Simulation of Large Nonlinear Models with Rational Expectations," Computational Economics, Society for Computational Economics, vol. 21(3), pages 245-256, June.
- Matsen, Egil & Torvik, Ragnar, 2005.
"Optimal Dutch disease,"
Journal of Development Economics,
Elsevier, vol. 78(2), pages 494-515, December.
- Jordi Galí & Tommaso Monacelli, 2005. "Monetary Policy and Exchange Rate Volatility in a Small Open Economy," Review of Economic Studies, Wiley Blackwell, vol. 72(3), pages 707-734, 07.
- Sachs, Jeffrey D. & Warner, Andrew M., 2001. "The curse of natural resources," European Economic Review, Elsevier, vol. 45(4-6), pages 827-838, May.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.