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Bayesian estimation of monetary policy in Russia

Author

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  • Lomivorotov, Rodion

    () (Higher School of Economics, Moscow;)

Abstract

In this research we implement Bayesian Vector Autoregressive model (BVAR) to analyze effect of internal and external shocks on Russian economy. This method allows to identify main transmission channels of monetary policy changes, as well as external shocks. Compared with traditional methods BVAR provides more consistent and accurate identifications for models with large number of variables and estimated on small samples. Bayesian model also produce more accurate out-of-sample forecasts compared with traditional SVAR model, FAVAR and Random Walk.

Suggested Citation

  • Lomivorotov, Rodion, 2015. "Bayesian estimation of monetary policy in Russia," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 38(2), pages 41-63.
  • Handle: RePEc:ris:apltrx:0264
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    File URL: http://pe.cemi.rssi.ru/pe_2015_2_41-63.pdf
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Борзых Ольга Алексеевна, 2016. "«Антиэффект» Ликвидности В Российской Банковской Системе," 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. 20(3), pages 377-414.
    2. repec:nos:voprec:2017-10-2 is not listed on IDEAS
    3. Borzykh, Olga, 2016. "Bank lending channel in Russia: A TVP-FAVAR approach," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 43, pages 96-117.
    4. repec:nos:voprec:2017-07-4 is not listed on IDEAS

    More about this item

    Keywords

    monetary policy; external shocks; Bayesian estimation; forecasts;

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • H25 - Public Economics - - Taxation, Subsidies, and Revenue - - - Business Taxes and Subsidies
    • O30 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - General

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