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Main Approaches to the Use of Time-Varying Parameter Models in Macroeconomic Modeling
[Обзор Основных Подходов К Использованию Моделей С Меняющимися Во Времени Параметрами В Макроэкономическом Моделировании]

Author

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  • Kazakova, Maria (Казакова, Мария)

    (The Russian Presidential Academy of National Economy and Public Administration)

Abstract

The evaluation of models with time-varying parameters has been widely used in macroeconomic studies carried out over the past 20 years. Following the fundamental works in this field, various authors began to apply such models to analyze the time -varying macroeconomic parameters such as volatility, long-term economic growth, trend inflation, inertia of inflation and oil prices, as well as the dependence of the main macroeconomic variables on oil prices oil. This review provides a methodological basis for using models with time-varying parameters as one of the important tools of macroeconomic modeling and forecasting, which allows taking into account temporary changes in the dependencies between different variables.

Suggested Citation

  • Kazakova, Maria (Казакова, Мария), 2021. "Main Approaches to the Use of Time-Varying Parameter Models in Macroeconomic Modeling [Обзор Основных Подходов К Использованию Моделей С Меняющимися Во Времени Параметрами В Макроэкономическом Моде," Working Papers w20220201, Russian Presidential Academy of National Economy and Public Administration.
    • Handle: RePEc:rnp:wpaper:w20220201
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