IDEAS home Printed from https://ideas.repec.org/a/ris/apltrx/0489.html
   My bibliography  Save this article

Developing and impulse response matching estimation of the DSGE model for the Russian economy

Author

Listed:
  • Polbin, Andrey

    (RANEPA, Gaidar Institute for Economic Policy, Moscow, Russian Federation)

  • Sinelnikov-Murylev, Sergey

    (Russian Foreign Trade Academy, Gaidar Institute for Economic Policy, Moscow, Russian Federation;)

Abstract

he paper proposes a two-sector macroeconomic model of the Russian economy based on the standard assumptions of New Keynesian DSGE models used to model household consumption, price and wage rigidities, and endogenous capital utilization. We consider two options for describing the investment process: the traditional approach with the investment adjustment costs and the approach using the investment accelerator model. The model parameters are calibrated based on minimizing the distance between the theoretical and “empirical” impulse response functions to the terms of trade shock derived from estimating simple ARX models with terms of trade as an exogenous variable. The constructed model quite accurately reproduces the influence of the terms of trade on the Russian economy for both investment modeling options. Based on the calibrated model, the authors examined the impact of a monetary policy shock on macroeconomic indicators and constructed a historical decomposition of the dynamics of macroeconomic indicators by an extended set of structural shocks to economic variables.

Suggested Citation

  • Polbin, Andrey & Sinelnikov-Murylev, Sergey, 2024. "Developing and impulse response matching estimation of the DSGE model for the Russian economy," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 73, pages 5-34.
    • Handle: RePEc:ris:apltrx:0489
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Keywords

    DSGE models; investment accelerator; oil prices; terms of trade; Russian economy; monetary policy;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:apltrx:0489. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Anatoly Peresetsky (email available below). General contact details of provider: http://appliedeconometrics.cemi.rssi.ru/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.