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On decrease in oil price elasticity of GDP and investment in Russia

Author

Listed:
  • Polbin, Andrey

    (RANEPA, Gaidar Institute, Moscow, Russian Federation)

  • Skrobotov, Anton

    (RANEPA, Moscow; SPBU, Saint Petersburg)

Abstract

The article evaluates cointegrating regression models with time-varying parameters to describe the relationship between real GDP, gross fixed capital formation and household consumption in the Russian Federation with oil prices. In the early 2000s there was an increase in the elasticities of the analyzed macroeconomic indicators with respect to oil prices, the peak of the elasticities occurred in the second half of the 2000s, after the crisis of 2008–2009 significant declines in elasticities have been identified, and in recent years the oil price elasticity of real GDP has been about 0.05, while for real investment and consumption it has been about 0.12.

Suggested Citation

  • Polbin, Andrey & Skrobotov, Anton, 2022. "On decrease in oil price elasticity of GDP and investment in Russia," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 66, pages 5-24.
    • Handle: RePEc:ris:apltrx:0443
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    More about this item

    Keywords

    TVP-cointegration; GDP; investment; consumption; oil prices; Russian economy;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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