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A 5-sector DSGE Model of Russia

Author

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  • Sergey Ivashchenko

Abstract

We build a dynamic stochastic general equilibrium model with five sectors (1 - mining; 2 - manufacturing; 3 - electricity, gas and water; 4 - trade, transport and communication; 5 - other). The model is estimated on 29 time-series of Russia statistical data. We analyse the out-of-sample forecasting prowess of the model and derive implications for economic policy. (In Russian).

Suggested Citation

  • Sergey Ivashchenko, 2015. "A 5-sector DSGE Model of Russia," EUSP Department of Economics Working Paper Series 2015/01, European University at St. Petersburg, Department of Economics.
  • Handle: RePEc:eus:wpaper:ec2015_01
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    File URL: https://eusp.org/sites/default/files/archive/ec_dep/wp/Ec-01_15.pdf
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    References listed on IDEAS

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    1. Malin Adolfson & Jesper Linde & Mattias Villani, 2007. "Forecasting Performance of an Open Economy DSGE Model," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 289-328.
    2. Jae Won Lee, 2010. "Heterogeneous Households in a Sticky Price Model," Departmental Working Papers 201001, Rutgers University, Department of Economics.
    3. Lombardo, Giovanni & Ravenna, Federico, 2012. "The size of the tradable and non-tradable sectors: Evidence from input–output tables for 25 countries," Economics Letters, Elsevier, vol. 116(3), pages 558-561.
    4. Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, vol. 48(5), pages 1305-1311, July.
    5. Schmitt-Grohe, Stephanie & Uribe, Martin, 2004. "Solving dynamic general equilibrium models using a second-order approximation to the policy function," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 755-775, January.
    6. Ivashchenko, S., 2013. "Dynamic Stochastic General Equilibrium Model with Banks and Endogenous Defaults of Firms," Journal of the New Economic Association, New Economic Association, vol. 19(3), pages 27-50.
    7. Jair N. OJeda & Julián A. Parra Polanía & Carmiña O. Vargas, 2014. "Natural-Resource Booms, Fiscal Rules and Welfare in a Small Open Economy," Borradores de Economia 807, Banco de la Republica de Colombia.
    8. Rubaszek, Michal & Skrzypczynski, Pawel, 2008. "On the forecasting performance of a small-scale DSGE model," International Journal of Forecasting, Elsevier, vol. 24(3), pages 498-512.
    9. Barbara Rudolf & Mathias Zurlinden, 2014. "A compact open economy DSGE model for Switzerland," Economic Studies 2014-08, Swiss National Bank.
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    Citations

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    Cited by:

    1. Sergey M. Ivashchenko, 2019. "DSGE Models: Problem of Trends," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 127006, Russia, issue 2, pages 81-95, April.

    More about this item

    Keywords

    DSGE; industries; out of sample forecasts;

    JEL classification:

    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General

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