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Forecasting Russian GDP, Inflation, Interest Rate, and Exchange Rate Using DSGE-VAR Model

Author

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  • Artur Sharafutdinov

    (Bank of Russia; RANEPA)

Abstract

This paper compares, on Russian quarterly data for 2003–2021, the forecast performance of a small-scale dynamic stochastic general equilibrium model (DSGE model) and the DSGE-VAR model as a Bayesian vector autoregression (VAR) which uses priors from this DSGE model. The forecast performance of the DSGE-VAR model turns out to be higher than that of the DSGE model for output growth and inflation over the one-year horizon and for the interest rate and exchange rate over a two-year horizon. Meanwhile, the DSGE-VAR model, on average, predicts GDP, inflation, and the exchange rate better and the interest rate worse than the first-order autoregressive model that serves as a benchmark.

Suggested Citation

  • Artur Sharafutdinov, 2023. "Forecasting Russian GDP, Inflation, Interest Rate, and Exchange Rate Using DSGE-VAR Model," Russian Journal of Money and Finance, Bank of Russia, vol. 82(3), pages 62-86, September.
    • Handle: RePEc:bkr:journl:v:82:y:2023:i:3:p:62-86
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    References listed on IDEAS

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    Cited by:

    1. Alexandra Bozhechkova & Urmat Dzhunkeev, 2024. "CLARA and CARLSON: Combination of Ensemble and Neural Network Machine Learning Methods for GDP Forecasting," Russian Journal of Money and Finance, Bank of Russia, vol. 83(3), pages 45-69, September.

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    More about this item

    Keywords

    forecasting; DSGE-VAR; DSGE; BVAR; Russian economy;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications

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