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Оценка Трендового Темпа Роста Ввп При Помощи Tvp-Arx-Sv-Модели

Author

Listed:
  • Ekaterina V. Malikova

    (Russian Presidential Academy of National Economy and Public Administration)

  • Nikita D. Fokin

    (Russian Presidential Academy of National Economy and Public Administration)

Abstract

В статье решается весьма важная задача оценки трендового темпа роста российского ВВП. Для этого используется модель авторегрессии с экзогенными переменными с меняющимися во времени параметрами и стохастической волатильностью (TVP-ARX-SV). В качестве единственной экзогенной переменной используются цены на нефть. Преимуществом данной модели является возможность получения не только меняющегося во времени трендового темпа роста, но и меняющегося во времени мультипликатора выпуска по нефтяным ценам. Тем самым модель лишена каких-либо ограничений на неизменность параметров во времени. Оцененная траектория трендового темпа роста достаточно близка к другим моделям, оцененным различными авторами. Статья подготовлена в рамках выполнения научно-исследовательской работы государственного задания РАНХиГС при Президенте Российской Федерации.

Suggested Citation

  • Ekaterina V. Malikova & Nikita D. Fokin, 2022. "Оценка Трендового Темпа Роста Ввп При Помощи Tvp-Arx-Sv-Модели," Russian Economic Development (in Russian), Gaidar Institute for Economic Policy, issue 3, pages 22-27, March.
    • Handle: RePEc:gai:ruserr:r2225
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    References listed on IDEAS

    as
    1. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
    2. Полбин Андрей Владимирович & Скроботов Антон Андреевич, 2016. "Тестирование Наличия Изломов В Тренде Структурной Компоненты Ввп Российской Федерации," 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. 20(4), pages 588-623.
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    More about this item

    Keywords

    реальный ВВП; цены на нефть; трендовый темп роста; меняющиеся во времени параметры;
    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

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