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Global inflation and Russian macroeconomic indicators: FAVAR framework
[Изучение Связи Глобальных Инфляционных Процессов И Российских Макроэкономических Показателей В Рамках Динамической Факторной Модели]

Author

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  • Rybak, Konstantin (Рыбак, Константин)

    (The Russian Presidential Academy of National Economy and Public Administration)

Abstract

The purpose of this research is to analyze the impact of global inflation and foreign monetary policy on Russian macroeconomic variables. This study provides a review and systematization of literature related to the identification and estimation of the external global shocks impact on the macroeconomic indicators of an individual economy, as well as literature related to global inflation processes. Exploiting factor augmented vector autoregression methodology we estimate impulse responses functions of Russian economy to various global shocks.

Suggested Citation

  • Rybak, Konstantin (Рыбак, Константин), 2023. "Global inflation and Russian macroeconomic indicators: FAVAR framework [Изучение Связи Глобальных Инфляционных Процессов И Российских Макроэкономических Показателей В Рамках Динамической Факторной ," Working Papers w20220278, Russian Presidential Academy of National Economy and Public Administration.
    • Handle: RePEc:rnp:wpaper:w20220278
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    More about this item

    Keywords

    global model; external shocks; factor model;
    All these keywords.

    JEL classification:

    • 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
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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