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Macroeconometric modeling of the Russian and Armenian economy. I. Peculiarities of macroeconomic situation and theoretical description of dynamic models

Author

Listed:
  • Aivazian, Sergey

    (CEMI RAS, Moscow, Russia)

  • Brodsky, Boris

    (CEMI RAS, Moscow, Russia)

  • Sandoyan, Edward

    (Russian-Armenian (Slavonic) university. Erevan, Armenia)

  • Voskanyan, Mariam

    (Russian-Armenian (Slavonic) university. Erevan, Armenia)

  • Manukyan, David

    (Russian-Armenian (Slavonic) university. Erevan, Armenia)

Abstract

The paper is the first part of the study which is devoted to the analysis of the macroeconomic trends in the Russian Federation and the Republic of Armenia in the period 1995–2011 and the development of the aggregated macroeconometric models of the national economies of these two countries. We use the two-stage approach to construction of econometric relationships: at the 1st stage dynamic models are found aimed at the theoretical description of the evolution of the most important sectors of the economy, and at the 2nd stage the econometric model of the national economy is created based upon cointegration and regression type of econometric relationships, as well as the balance type equations between the key economic indicators. The system of these equations enables us to analyze objective long-term trends, and to take into account short-term and middle-term effects of macroeconomic «shocks», so called macroeconomic projections.

Suggested Citation

  • Aivazian, Sergey & Brodsky, Boris & Sandoyan, Edward & Voskanyan, Mariam & Manukyan, David, 2013. "Macroeconometric modeling of the Russian and Armenian economy. I. Peculiarities of macroeconomic situation and theoretical description of dynamic models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 30(2), pages 3-25.
    • Handle: RePEc:ris:apltrx:0207
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    References listed on IDEAS

    as
    1. 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.
    2. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
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    Cited by:

    1. Aivazian, Sergey & Brodsky , Boris & Sandoyan, Edward & Voskanyan, Mariam & Manukyan, David, 2013. "Macroeconometric modeling of Russian and Armenian economies. II. Aggregated macroeconometric models of the national economies of Russia and Armenia," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 31(3), pages 7-31.
    2. Aivazian, Sergei & Bereznyatskiy, Alexander & Brodsky, Boris, 2014. "Dutch disease in Russian and Armenian economies," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 36(4), pages 32-60.

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    More about this item

    Keywords

    national economy; econometrics; the system of simultaneous equations; GDP; investment; CPI; export-oriented sector; domestic-oriented sector; households sector; time series; cointegration.;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: 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
    • E13 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Neoclassical

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