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Econometric estimation of the impact of oil prices shock on the Russian economy in VECM model

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  • A. Polbin

Abstract

The paper estimates terms of trade shock influence on the Russian output, gross investment and consumption using VECM model with exogenous variables. As a proxy for terms of trade we use oil prices. Empirical results demonstrate that a permanent oil price increase led to a short-run economic boom followed by a negative contribution to economic growth.

Suggested Citation

  • A. Polbin, 2017. "Econometric estimation of the impact of oil prices shock on the Russian economy in VECM model," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 10.
    • Handle: RePEc:nos:voprec:y:2017:id:348
    DOI: 10.32609/0042-8736-2017-10-27-49
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    File URL: https://www.vopreco.ru/jour/article/viewFile/348/348
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    File URL: https://libkey.io/10.32609/0042-8736-2017-10-27-49?utm_source=ideas
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    Cited by:

    1. Andrey Bedin & Alexander Kulikov & Andrey Polbin, 2023. "Copula-Based Modelling of Relationship Between Dollar/Rouble Exchange Rate and Oil Prices," Russian Journal of Money and Finance, Bank of Russia, vol. 82(3), pages 87-109, September.

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