Russian Abstract: Оценка моделей с изменяющимися во времени параметрами нашла широкое распространение в макроэкономических исследованиях, реализуемых в течение...

The article proposes a new approach for estimation of the business cycle component of the Russian GDP. At the first step, the non-stationary component consisting of a deterministic trend with structural breaks, and components characterizing the long-run impact of oil prices on the Russian...

In this paper we analyze the relationship between the real Russian ruble exchange rate and real oil prices using the error correction model with Markov regime switching, which allows for changes in exchange rate policy. We find that during the period 1999-2018 real exchange rate dynamics was...

The article shows that actual public expenditure in the period of rapid oil prices growth of the 2000s was less than optimal level in Russia. The macroeconomic model of Russian economy is the basis of current research. The main mechanism of growth in an optimum scenario is associated with the...

The paper estimates vector error correction model (VECM) for the real ruble exchange rate and the real oil prices. The VECM model takes into account the structural break in short run parameters due to monetary policy regime change in November 2014. Estimates show that the real exchange rate...

In this work we build a Bayesian vector autoregression model to estimate the impact of global economic activity shocks, supply shocks in the global oil market, as well as speculative oil shocks on key macroeconomic variables of the Russian economy: GDP, household consumption, fixed capital...

In this work we build a Bayesian vector autoregression model to estimate the impact of global economic activity shocks, supply shocks in the global oil market, as well as speculative oil shocks on key macroeconomic variables of the Russian economy: GDP, household consumption, fixed capital...

In this work we build a Bayesian vector autoregression model to estimate the impact of global economic activity shocks, supply shocks in the global oil market, as well as speculative oil shocks on key macroeconomic variables of the Russian economy: GDP, household consumption, fixed capital...

In this work we build a Bayesian vector autoregression model to estimate the impact of global economic activity shocks, supply shocks in the global oil market, as well as speculative oil shocks on key macroeconomic variables of the Russian economy: GDP, household consumption, fixed capital...

World oil prices in 2020 have undergone tangible shocks, which are associated primarily with two events - the collapse of the OPEC+ deal and the coronavirus pandemic. Based on the BVAR model of the oil market, the quantitative role of these events in the dynamics of oil prices was assessed, and...