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Estimating the impact of terms of trade news shocks on the Russian economy

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  • Sugaipov, Deni

    (RANEPA, Moscow, Russian Federation)

Abstract

This paper examines the impact of terms of trade news shocks on the dynamics of output, consumption, investment, trade balance and exchange rate in Russia. News in recent work are understood as the emergence of information about future changes in the economy. To identify expected shocks, we maximize the forecast error variance share of terms of trade time series over a finite horizon of several quarters. The results indicate that news shocks have a significant effect on the Russian economy and explain almost 60% of the variance of the main indicators

Suggested Citation

  • Sugaipov, Deni, 2022. "Estimating the impact of terms of trade news shocks on the Russian economy," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 66, pages 39-67.
    • Handle: RePEc:ris:apltrx:0445
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    Cited by:

    1. Polbin, Andrey & Sinelnikov-Murylev, Sergey, 2024. "Developing and impulse response matching estimation of the DSGE model for the Russian economy," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 73, pages 5-34.

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    More about this item

    Keywords

    news shocks; terms of trade; business cycles; maximum forecast error variance share;
    All these keywords.

    JEL classification:

    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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