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Эконометрический Анализ Взаимовлияния России И Развитых Стран

Author

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  • Афанасьев Д.О.
  • Федорова Е.А.

Abstract

В статье рассмотрены вопросы оценки уровня валютной, финансовой, макроэкономической и торговой интеграций России, Китая, Германии, Великобритании и США. Проанализировано изменение интеграции в кризисные периоды, на основании чего сделаны выводы о наличии или отсутствии спилловер-эффектов в соответствующих каналах перетока кризиса. Методология исследования основана на применении векторной авторегрессионной модели с марковскими переключениями режимов и анализе оцененной ковариационной матрицы. В результате проведенного исследования выявлено, что спилловер-эффект чаще всего возникает между Россией и Великобританией по финансовому, макроэкономическому и торговому каналам, с Германией - по торговому каналу, с США - по финансовому, и полностью отсутствует с Китаем.

Suggested Citation

  • Афанасьев Д.О. & Федорова Е.А., 2016. "Эконометрический Анализ Взаимовлияния России И Развитых Стран," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 52(3), pages 36-49, июль.
    • Handle: RePEc:scn:cememm:v:52:y:2016:i:3:p:36-49
    Note: Москва
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    References listed on IDEAS

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    5. Mr. Paul R Masson, 1998. "Contagion: Monsoonal Effects, Spillovers, and Jumps Between Multiple Equilibria," IMF Working Papers 1998/142, International Monetary Fund.
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