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Modeling the dynamics of import in the Russian Federation using the error correction model

Author

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  • Polbin, Andrey

    (Russian Presidential Academy of National Economy and Public Administration (RANEPA). Gaidar Institute; Moscow, Russian Federation)

  • Fokin, Nikita

    (Russian Presidential Academy of National Economy and Public Administration (RANEPA). Moscow, Russian Federation)

Abstract

In this paper, we estimate the error correction model for aggregate import in the Russian Federation. In the first step, using DOLS, the long-term function of demand for imports is estimated, which depends on the indicator of aggregate expenses and relative prices, in the second step, the parameters of short-run dynamics are estimated using OLS and GMM. Six alternative indicators are considered as a variable of aggregated expenses. The best determinant of dynamics of import from the point of view of minimizing the errors of prediction and nowcasting is GDP with the exception of government spending.

Suggested Citation

  • Polbin, Andrey & Fokin, Nikita, 2020. "Modeling the dynamics of import in the Russian Federation using the error correction model," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 59, pages 88-112.
    • Handle: RePEc:ris:apltrx:0401
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    References listed on IDEAS

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    Cited by:

    1. Maiorova, Ksenia & Fokin, Nikita, 2020. "Наукастинг Темпов Роста Стоимостных Объемов Экспорта И Импорта По Товарным Группам [Nowcasting the growth rates of the export and import by commodity groups]," MPRA Paper 109557, University Library of Munich, Germany.

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    More about this item

    Keywords

    import demand; nowcasting; GMM; cointegration; error correction model; Russian economy; real exchange rate;
    All these keywords.

    JEL classification:

    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • F17 - International Economics - - Trade - - - Trade Forecasting and Simulation
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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