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Migration in the Estimated New Keynesian DSGE Model for Armenia and Russia

Author

Listed:
  • Haykaz Igityan

    (Monetary Policy Department, Central Bank of Armenia)

Abstract

This paper develops DSGE model for Armenia and Russia allowing the Armenian household to supply labor both domestically and abroad. Paper models migration cost arising in a reallocation process of labor, which is absent in a basic New Keynesian framework. Russian migration policy is also taken into account during the construction of the model. The model is estimated by Bayesian technique using 22 time series of Armenian and Russian variables and 22 structural shocks. The estimation shows that the model reproduces Armenian and Russian data. Estimated structural shocks are supported by stylized facts and historical events. The model is able to generate real remittances data and represent Russian migration policy. Historical simulations show that the estimated model predicts quite well the observed movements of the business cycle. The paper also discusses the transmission mechanism of different structural shocks on the migration and real remittances.

Suggested Citation

  • Haykaz Igityan, 2016. "Migration in the Estimated New Keynesian DSGE Model for Armenia and Russia," Working Papers 6, Central Bank of the Republic of Armenia.
    • Handle: RePEc:ara:wpaper:006
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    File URL: https://www.cba.am/EN/panalyticalmaterialsresearches/Analytical_01.02.2017.pdf
    File Function: First version, 2016
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    Citations

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    Cited by:

    1. Haykaz Igityan & Hasmik Kartashyan, 2021. "Housing Market Drivers and Dynamics in Armenia," Working Papers 16, Central Bank of the Republic of Armenia.

    More about this item

    Keywords

    New Keynesian DSGE model; labor migration; remittances; Bayesian estimation;
    All these keywords.

    JEL classification:

    • E12 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • F22 - International Economics - - International Factor Movements and International Business - - - International Migration
    • F24 - International Economics - - International Factor Movements and International Business - - - Remittances

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