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Estimating the Influence of Different Shocks on Macroeconomic Indicators and Developing Conditional Forecasts on the Basis of BVAR Model for the Russian Economy
[Оценка Влияния Различных Шоков На Динамику Макроэкономических Показателей В России И Разработка Условных Прогнозов На Основе Bvar-Модели Российской Экономики]

Author

Listed:
  • Pestova, Anna (Пестова, Анна)

    (Center for macroeconomic analysis and short-term forecasting (CMASF) at the Institute for Economic Forecasting of the Russian Academy of Sciences)

  • Mamonov, Mikhail (Мамонов, Михаил)

    (National Research University "Higher School of Economics")

Abstract

In this paper, we investigate the influence of internal and external shocks on macroeconomic indicators of Russian economy using Bayesian vector autoregression (BVAR) model. We develop conditional medium-term forecasts (scenarios, up to 2017) and then compare the forecasting outcomes achieved in BVAR under these scenarios with respective official forecasts of the Ministry of Economic Development (MED) of the Russian Federation. Our results indicate that within the similar scenario conditions our proposed BVAR predicts (1) a deeper and (2) more prolonged recession on the medium-term forecasting horizon as compared to the MED’s forecasts. Our comparative analysis allowed us to reveal the bottlenecks in the forecasting methodologies applied both in the MED’s model and in our BVAR model, which seriously worsen the quality of forecasts.

Suggested Citation

  • Pestova, Anna (Пестова, Анна) & Mamonov, Mikhail (Мамонов, Михаил), 2016. "Estimating the Influence of Different Shocks on Macroeconomic Indicators and Developing Conditional Forecasts on the Basis of BVAR Model for the Russian Economy [Оценка Влияния Различных Шоков На Д," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 4, pages 56-92, August.
    • Handle: RePEc:rnp:ecopol:ep1643
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. 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.
    2. Anastasia Mogilat & Oleg Kryzhanovskiy & Zhanna Shuvalova & Yaroslav Murashov, 2024. "DYFARUS: Dynamic Factor Model to Forecast GDP by Output Using Input-Output Tables," Russian Journal of Money and Finance, Bank of Russia, vol. 83(2), pages 3-25, June.
    3. Fokin, Nikita & Polbin, Andrey, 2019. "A Bivariate Forecasting Model For Russian GDP Under Structural Changes In Monetary Policy and Long-Term Growth," MPRA Paper 95306, University Library of Munich, Germany, revised Apr 2019.
    4. Kitova, Olga & Dyakonova, Ludmila & Savinova, Victoria & Fomin, Kiril, 2023. "Forecasting the main economic indicators for industry in the analytical system "Horizon"," MPRA Paper 118887, University Library of Munich, Germany.
    5. 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.
    6. Nikita Fokin & Andrey Polbin, 2019. "Forecasting Russia's Key Macroeconomic Indicators with the VAR-LASSO Model," Russian Journal of Money and Finance, Bank of Russia, vol. 78(2), pages 67-93, June.
    7. Zubarev, A. & Rybak, K., 2022. "The impact of global shocks on the Russian economy: FAVAR approach," Journal of the New Economic Association, New Economic Association, vol. 56(4), pages 48-68.
    8. Marina Tiunova, 2019. "Commodity and Financial Cycles in Resource-based Economies," Russian Journal of Money and Finance, Bank of Russia, vol. 78(3), pages 38-70, September.
    9. Grebenkina, A. & Khandruev, A., 2021. "Difference in intensity of exchange rate factors in countries with targeting inflation regime," Journal of the New Economic Association, New Economic Association, vol. 51(3), pages 125-143.

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    More about this item

    Keywords

    Bayesian vector autoregression; internal and external shocks; conditional (scenario) forecasts;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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