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Estimating the Influence of Different Shocks on Macroeconomic Indicators and Developing Conditional Forecasts on the Basis of BVAR Model for the Russian Economy

Author

Listed:
  • Pestova, Anna

    (Center for macroeconomic analysis and short-term forecasting (CMASF) at the Institute for Economic Forecasting of the Russian Academy of Sciences)

  • Mamonov, Mikhail

    (National Research University "Higher School of Economics")

Abstract

In this paper, we investigate the influence of internal and external shocks on macroeconomic indicators of Russian economy using Bayesian vector autoregression (BVAR) model. We develop conditional medium-term forecasts (scenarios, up to 2017) and then compare the forecasting outcomes achieved in BVAR under these scenarios with respective official forecasts of the Ministry of Economic Development (MED) of the Russian Federation. Our results indicate that within the similar scenario conditions our proposed BVAR predicts (1) a deeper and (2) more prolonged recession on the medium-term forecasting horizon as compared to the MED’s forecasts. Our comparative analysis allowed us to reveal the bottlenecks in the forecasting methodologies applied both in the MED’s model and in our BVAR model, which seriously worsen the quality of forecasts.

Suggested Citation

  • Pestova, Anna & Mamonov, Mikhail, 2016. "Estimating the Influence of Different Shocks on Macroeconomic Indicators and Developing Conditional Forecasts on the Basis of BVAR Model for the Russian Economy," Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 4, pages 56-92, August.
  • Handle: RePEc:rnp:ecopol:ep1643
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    References listed on IDEAS

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    More about this item

    Keywords

    Bayesian vector autoregression; internal and external shocks; conditional (scenario) forecasts;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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