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DEMUR, a regional semi-structural model of the Ural Macroregion

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  • Oleg Kryzhanovsky

    (Bank of Russia, Russian Federation)

  • Alexander Zykov

    (Bank of Russia, Russian Federation)

Abstract

This paper offers an introduction into a new macroeconomic model of the Ural Macroregion named DEMUR (the Dynamic Equilibrium Model of the Ural Region). DEMUR is a regional semi-structural model that includes some key characteristics of the Ural economy for analysing the implications of monetary policy measures and forecasting. DEMUR is built in the logic of neo-Keynesian models with real and nominal rigidity. It also takes into account the structure of a small open economy, external (relative to the region) monetary conditions and other factors that drive changes of the Ural economy. The model is estimated by Bayesian methods based on international OECD, EAI, FRED and FAO statistical data, federal and regional statistical data by Rosstat and the Bank of Russia for 2009 Q1–2020 Q4. While describing DEMUR’s properties, we demonstrate the model’s capabilities by decomposing historical and forecast data. The model enables the analysis of changes in economic indicators on both Russian and macroregional levels in response to domestic or external macroeconomic shocks, and quantifies the macroregion’s contribution to changes in countrywide indicators, making it a valuable tool for macroeconomic analysis.

Suggested Citation

  • Oleg Kryzhanovsky & Alexander Zykov, 2021. "DEMUR, a regional semi-structural model of the Ural Macroregion," Bank of Russia Working Paper Series wps83, Bank of Russia.
    • Handle: RePEc:bkr:wpaper:wps83
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    More about this item

    Keywords

    gross regional product; forecasting models; QPM; quarterly projection models; semi-structural models; monetary policy models; inflation targeting.;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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