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Accounting for Post-Crisis Macroeconomic Developments in Russia: A Large Bayesian Vector Autoregression Model Approach

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  • Elena Deryugina
  • Alexey Ponomarenko

Abstract

We apply an econometric approach developed specifically to address the “curse of dimensionality” in Russian data and estimate a Bayesian vector autoregression model comprising sixteen major macroeconomic indicators. We conduct several types of exercises to validate our model: impulse response analysis, recursive forecasting and counterfactual simulations. We also show that real sector developments in Russia in 2010–13 could be accurately forecasted if conditioned on oil price and EU GDP (but not if conditioned on oil price alone). Real growth rates were notably lower than projected in 2014, presumably due to increased economic uncertainty.

Suggested Citation

  • Elena Deryugina & Alexey Ponomarenko, 2015. "Accounting for Post-Crisis Macroeconomic Developments in Russia: A Large Bayesian Vector Autoregression Model Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(6), pages 1261-1275, November.
    • Handle: RePEc:mes:emfitr:v:51:y:2015:i:6:p:1261-1275
    DOI: 10.1080/1540496X.2015.1069125
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    Cited by:

    1. Pestova, Anna & Mamonov, Mikhail, 2019. "Should we care? : The economic effects of financial sanctions on the Russian economy," BOFIT Discussion Papers 13/2019, Bank of Finland, Institute for Economies in Transition.
    2. Pestova, Anna & Mamonov, Mikhail, 2019. "Should we care? The economic effects of financial sanctions on the Russian economy," BOFIT Discussion Papers 13/2019, Bank of Finland Institute for Emerging Economies (BOFIT).
    3. Alexey Ponomarenko, 2016. "Money stock composition and inflation risks," Bank of Russia Working Paper Series note3, Bank of Russia.
    4. Ramis Khabibullin & Alexey Ponomarenko & Sergei Seleznev, 2018. "Forecasting the implications of foreign exchange reserve accumulation with an agent-based model," Bank of Russia Working Paper Series wps37, Bank of Russia.
    5. Mikhail Mamonov & Vera Pankova & Renat Akhmetov & Anna Pestova, 2020. "Financial Shocks and Credit Cycles," Russian Journal of Money and Finance, Bank of Russia, vol. 79(4), pages 45-74, December.
    6. repec:zbw:bofitp:2019_013 is not listed on IDEAS

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