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Econometric Modeling of the Balanced Potential Growth Rate of the Main Russian Macroeconomic Variables

Authors
  • Polbin, A. V.1, 2
  • Fokin, N. D.1
  • 1 The Russian Academy of the National Economy and Public Administration (RANEPA) under the President of the Russian Federation, Moscow, Russia , Moscow (Russia)
  • 2 Gaidar Institute for Economic Policy, Moscow, Russia , Moscow (Russia)
Type
Published Article
Journal
Mathematical Models and Computer Simulations
Publisher
Pleiades Publishing
Publication Date
Mar 01, 2021
Volume
13
Issue
2
Pages
244–253
Identifiers
DOI: 10.1134/S2070048221020125
Source
Springer Nature
Keywords
License
Yellow

Abstract

AbstractThis paper provides a vector autoregression model with an additional regularization problem similar to the Hodrick–Prescott filter problem to model a single, i.e., balanced, growth rate of the structural component of the main macroeconomic indicators of the Russian economy. This model includes the real GDP without government expenditure, the real household consumption, real fixed capital investment, the real exports, the real imports, and the real effective ruble exchange rate. Oil prices are exogenously included in the model. It is assumed that the GDP without government expenditure and its components have a balanced potential growth rate. The actual discrepancies in the time series are explained by the different long-term oil price multipliers and by the stochastic shocks. Based on the proposed model, we calculate the impacts of the oil price shocks and the structural component on the GDP without government expenditure and its components.

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