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Oil dependency of the Russian economy: an econometric analysis

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  • Andreas Benedictow
  • Daniel Fjærtoft
  • Ole Løfsnæs

    ()
    (Statistics Norway)

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    Abstract

    A macro econometric model of the Russian economy is developed, containing 13 estimated equations – covering major national account variables, government expenditures and revenues, interest rates, prices and the labour market. The model is tailored to analyze effects of changes in the oil price and economic policy variables. The model has good statistical properties and tracks history well over the estimation period, which runs from 1995Q1 to 2008Q1. Model simulations indicate that the Russian economy is vulnerable to large fluctuations in the oil price, but we also find evidence of significant economic growth capabilities in the absence of oil price growth.

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    Bibliographic Info

    Paper provided by Research Department of Statistics Norway in its series Discussion Papers with number 617.

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    Date of creation: May 2010
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    Handle: RePEc:ssb:dispap:617

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    Keywords: Russia; macro econometric model; oil price dependency; fiscal and monetary policy;

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    1. Rautava, Jouko, 2004. "The role of oil prices and the real exchange rate in Russia's economy--a cointegration approach," Journal of Comparative Economics, Elsevier, vol. 32(2), pages 315-327, June.
    2. Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 39(1), pages 195-214, December.
    3. Pekka Sulamaa & Mika Widgrén, 2004. "EU-Enlargement and Beyond: A Simulation Study on EU and Russia Integration," Empirica, Springer, vol. 31(4), pages 307-323, December.
    4. Suni, Paavo, 2007. "Oil Prices and the Russian Economy. Some Simulation Studies with NiGEM," Discussion Papers, The Research Institute of the Finnish Economy 1088, The Research Institute of the Finnish Economy.
    5. Pindyck, Robert S., 1998. "The long-run evolution of energy prices," Working papers WP 4044-98., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    6. Geranda Notten & Denis de Crombrugghe, 2012. "Consumption smoothing in Russia," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 20(3), pages 481-519, 07.
    7. van Wijnbergen, Sweder J G, 1984. "The 'Dutch Disease': A Disease after All?," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 94(373), pages 41-55, March.
    8. Rutherford, Thomas & Tarr, David & Shepotylo, Oleksandr, 2005. "The impact on Russia of WTO accession and the Doha agenda : the importance of liberalization of barriers against foreign direct investment in services for growth and poverty reduction," Policy Research Working Paper Series 3725, The World Bank.
    9. International Monetary Fund, 2003. "The Equilibrium Real Exchange Rate in a Commodity Exporting Country," IMF Working Papers 03/93, International Monetary Fund.
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