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Multivariate unobserved component model for an oil-exporting economy: the case of Russia

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  • Andrey Polbin

Abstract

This paper presents an unobserved component model for real GDP, real household consumption, and real investment of an oil-exporting economy. The model decomposes domestic variables’ dynamics into permanent and transitory components, accounting for dependence on oil prices in the short and long-run, as well as for the common long-run economic growth and the common cyclical behaviour. Estimated on the Russian macroeconomic variables, the model exhibits a strong dependence on oil prices.

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  • Andrey Polbin, 2021. "Multivariate unobserved component model for an oil-exporting economy: the case of Russia," Applied Economics Letters, Taylor & Francis Journals, vol. 28(8), pages 681-685, May.
    • Handle: RePEc:taf:apeclt:v:28:y:2021:i:8:p:681-685
    DOI: 10.1080/13504851.2020.1770678
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    1. Alquist, Ron & Kilian, Lutz & Vigfusson, Robert J., 2013. "Forecasting the Price of Oil," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 427-507, Elsevier.
    2. Hadi Salehi Esfahani & Kamiar Mohaddes & M. Hashem Pesaran, 2014. "An Empirical Growth Model For Major Oil Exporters," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 1-21, January.
    3. Rautava, Jouko, 2004. "The role of oil prices and the real exchange rate in Russia's economy--a cointegration approach," Journal of Comparative Economics, Elsevier, vol. 32(2), pages 315-327, June.
    4. Kuboniwa, Masaaki, 2014. "A comparative analysis of the impact of oil prices on oil-rich emerging economies in the Pacific Rim," Journal of Comparative Economics, Elsevier, vol. 42(2), pages 328-339.
    5. Korhonen, Iikka & Ledyaeva, Svetlana, 2010. "Trade linkages and macroeconomic effects of the price of oil," Energy Economics, Elsevier, vol. 32(4), pages 848-856, July.
    6. Sergey Sinelnikov-Murylev & Sergey Drobyshevsky & Maria Kazakova & Michael Alexeev, 2016. "Decomposition of Russia's GDP Growth Rates," Research Paper Series, Gaidar Institute for Economic Policy, issue 167P, pages 123-123.
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    Cited by:

    1. Artur R. Sharafutdinov, 2023. "Output Gap in Russian Economy: Estimate Based on the IMF’s Multivariate Filter [Разрыв Выпуска В Российской Экономике: Оценка На Основе Многомерного Фильтра Мвф]," Russian Economic Development, Gaidar Institute for Economic Policy, issue 4, pages 15-23, April.
    2. Andrey Feliksovich Bedin & Alexander Vladimirovich Kulikov & Andrey Vladimirovich Polbin, 2021. "A Markov Switching VECM Model for Russian Real GDP, Real Exchange Rate and Oil Prices," International Journal of Energy Economics and Policy, Econjournals, vol. 11(2), pages 402-412.
    3. Fokin, Nikita, 2021. "The importance of modeling structural breaks in forecasting Russian GDP," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 63, pages 5-29.
    4. Fokin, Nikita & Haritonova, Marina, 2020. "Сравнительный Анализ Прогнозных Моделей Российского Ввп В Условиях Наличия Структурных Сдвигов [Comparative analysis of the forecasting models for Russia’s GDP under the structural breaks]," MPRA Paper 103412, University Library of Munich, Germany.
    5. Artur R. Sharafutdinov, 2023. "Разрыв Выпуска В Российской Экономике: Оценка На Основе Многомерного Фильтра Мвф," Russian Economic Development (in Russian), Gaidar Institute for Economic Policy, issue 4, pages 15-23, April.

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    More about this item

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: 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
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)

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