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A Macroeconomic Model of the Russian Economy

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  • Skrypnik, Dmitriy

Abstract

The constructed macroeconomic model of Russian economy is presented. The model takes into account the key features of behavioral mechanism, economic policy mechanism, and key structural features of the economy for medium and short periods. We model the budget rule mechanism, consider interaction between the Central Bank and the budget in the context of monetary and budget reserves accumulation, including the process of gold-currency reserves’ accumulation as well as the sterilizing mechanism for state funds formation. Include two different monetary policy rules in the model: domestic credit rule and exchange rate rule. The exchange rate sub-model describes a Balassa—Samuelson effect and terms of trade effect. Our model demonstrates high prognostic power: its model prognostic quality is higher than of the Ministry of Economic Development of the Russian Federation for the majority of macroeconomic indicators.

Suggested Citation

  • Skrypnik, Dmitriy, 2016. "A Macroeconomic Model of the Russian Economy," MPRA Paper 93506, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:93506
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    1. E. Gurvich & V. Sokolov & A. Ulyukaev., 2008. "The Impact of the Balassa—Samuelson Effect on the Real Ruble Exchange Rate: The Assessment," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 7.
    2. Полбин Андрей Владимирович, 2013. "Построение Динамической Стохастической Модели Общего Равновесия Для Экономики С Высокой Зависимостью От Экспорта Нефти," 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. 17(2), pages 323-359.
    3. Mark Aguiar & Guita Gopinath, 2007. "The Role of Interest Rates and Productivity Shocks in Emerging Market Fluctuations," Working Papers Central Bank of Chile 445, Central Bank of Chile.
    4. Aivazian, Sergei & Brodsky, Boris, 2006. "Macroeconometric modeling: modern trends, problems, an example of the econometric model of the Russian economy," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 2(2), pages 85-111.
    5. 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.
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    7. Basdevant, Olivier, 2000. "An econometric model of the Russian Federation," Economic Modelling, Elsevier, vol. 17(2), pages 305-336, April.
    8. Bardsen, Gunnar & Eitrheim, Oyvind & Jansen, Eilev S. & Nymoen, Ragnar, 2005. "The Econometrics of Macroeconomic Modelling," OUP Catalogue, Oxford University Press, number 9780199246502.
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    Cited by:

    1. Polbin, Andrey & Shumilov, Andrei & Bedin, Andrei & Kulikov, Alexander, 2019. "Modeling real exchange rate of the Russian ruble using Markov regime switching approach," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 55, pages 32-50.

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    More about this item

    Keywords

    macroeconomic modeling; error correction model; budget rule; transmission mechanism of monetary policy;
    All these keywords.

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E00 - Macroeconomics and Monetary Economics - - General - - - General
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General

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