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Construction of a global vector autoregression with trade and financial relationships between countries and forecasting of Russian macroeconomic indicators
[Построение Глобальной Векторной Авторегрессии С Учётом Торговых И Финансовых Взаимосвязей Между Странами Для Прогнозирования Российских Макроэкономических Показателей]

Author

Listed:
  • Zubarev, Andrey (Зубарев, Андрей)

    (The Russian Presidential Academy of National Economy and Public Administration)

  • Kirillova, Maria (Кириллова, Мария)

    (The Russian Presidential Academy of National Economy and Public Administration)

Abstract

The purpose of this research is to analyze the impact of external shocks on the Russian economy and build forecasts for the dynamic of Russian macroeconomic variables within the framework of a global vector autoregression model. In this study, special attention is focused on including channels for transmitting not only real but also financial shocks into the model by using different weights for aggregating variables. Also, the model for the Russian economy has been expanded by including not only variables of the real sector, but also indicators of the inflation rate and interest rate. The results provide impulse response functions for Russian indicators in response to a US interest rate shock.

Suggested Citation

  • Zubarev, Andrey (Зубарев, Андрей) & Kirillova, Maria (Кириллова, Мария), 2023. "Construction of a global vector autoregression with trade and financial relationships between countries and forecasting of Russian macroeconomic indicators [Построение Глобальной Векторной Авторегр," Working Papers w20220275, Russian Presidential Academy of National Economy and Public Administration.
    • Handle: RePEc:rnp:wpaper:w20220275
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    More about this item

    Keywords

    external shocks; financial linkages; trade linkages; global autoregression;
    All these keywords.

    JEL classification:

    • 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
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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