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Macroeconometric modeling: modern trends, problems, an example of the econometric model of the Russian economy


  • Aivazian, Sergei

    () (CEMI RAS, Moscow, Russia)

  • Brodsky, Boris

    () (Central Economic-Mathematical Institute, Russia)


This research deals with methodological problems of econometric modeling for the Russian economy of 1990–2000s with respect to modern trends in macroeconomic and econometric theory. The authors propose a two-stage procedure of modeling. At the first stage a disaggregated dynamical model is created aimed at theoretical description of the main sectors of the Russian economy: export-oriented, inner-oriented, gas, infrastructural monopolies, monetary, budget, household income and expenditure sectors. At the second stage an econometric model is proposed which includes the nonstationary cointegration type and the balance type relationships and identities. This system of equations is solved simultaneously and used for the analysis of short-term and medium-term shocks and projections.

Suggested Citation

  • Aivazian, Sergei & Brodsky, Boris, 2006. "Macroeconometric modeling: modern trends, problems, an example of the econometric model of the Russian economy," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 2(2), pages 85-111.
  • Handle: RePEc:ris:apltrx:0087

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    References listed on IDEAS

    1. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    2. Basdevant, Olivier, 2000. "An econometric model of the Russian Federation," Economic Modelling, Elsevier, vol. 17(2), pages 305-336, April.
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    Cited by:

    1. Aivazian, Sergey & Brodsky , Boris & Sandoyan, Edward & Voskanyan, Mariam & Manukyan, David, 2013. "Macroeconometric modeling of Russian and Armenian economies. II. Aggregated macroeconometric models of the national economies of Russia and Armenia," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 31(3), pages 7-31.
    2. Kravtsov, Mikhail & Burdyka, Mikalai & Haspadarets, Burdyka & Shynkevich, Natallia & Kartun, Andrei, 2008. "An Econometric Macroeconomic Model for Analysis and Forecasting of Key Indicators of the Belarusian Economy," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 10(2), pages 21-43.
    3. Idrisov, Georgiy & Kazakova, Maria & Polbin, Andrey, 2014. "The theoretical interpretation of the effect of oil prices on economic growth in modern Russia," Economic Policy, Russian Presidential Academy of National Economy and Public Administration, October.
    4. Ершов Эмиль Борисович & Кадрева Ольга Николаевна, 2015. "Моделирование Организованных Сбережений Населения России: Макроподход, Учет Кредита," Higher School of Economics Economic Journal Экономический журнал Высшей школы экономики, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», vol. 19(3), pages 349-385.
    5. Brodsky, Boris, 2006. "The Influence of the Ruble Real Exchange Rate on the Russian Economy," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 4(4), pages 90-104.
    6. Aivazian, Sergey & Brodsky, Boris & Sandoyan, Edward & Voskanyan, Mariam & Manukyan, David, 2013. "Macroeconometric modeling of the Russian and Armenian economy. I. Peculiarities of macroeconomic situation and theoretical description of dynamic models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 30(2), pages 3-25.
    7. Скрыпник Д.В., 2016. "Макроэкономическая Модель Российской Экономики," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 52(3), pages 92-113, июль.
    8. Polbin, Andrey & Skrobotov, Anton, 2017. "Спектральная Оценка Компоненты Бизнес Цикла Ввп России С Учетом Высокой Зависимости От Условий Торговли
      [Spectral estimation of the business cycle component of the Russian GDP under high dependence
      ," MPRA Paper 78667, University Library of Munich, Germany.

    More about this item


    Russian economy; cointegration;

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
    • E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications


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