Multiple Sectors DSGE Model of Russia
DOI:
https://doi.org/10.21638/11701/spbu05.2016.310Abstract
A dynamic stochastic general equilibrium model with multiple sectors is constructed. The production is divided into 5 sectors: 1) mining; 2) manufacturing; 3) electricity, gas and water; 4) trade, transport and communication; 5) other. The model is estimated in 29 time-series of Russian statistical data. The model produces high quality out-of-sample forecasts (better than auto regressions). The consequences of export price decline, restriction of access to foreign finance, tighter monetary policy and higher government spending are computed. Refs 18. Figs 5. Table 1.
Keywords:
DSGE, industries, out of sample forecasts
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References
Литература на русском языке
Дробышевский С., Полбин А. Декомпозиция динамики макроэкономических показателей РФ на основе DSGE–модели // Экономическая политика. 2015. Т. 10, № 2. С. 20–42.
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Иващенко С. М. ДСОЭР-модель России с 5 секторами // Ec-01/15, Препринт Европейского университета в Санкт-Петербурге, факультет экономики, 2015. URL: http://www.eu.spb.ru/images/ec_dep/wp/Ec-01_15.pdf p.1-25
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References in Latin Alphabet
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Translation of references in Russian into English
Drobyshevskii S., Polbin A. Dekompozitsiia dinamiki makroekonomicheskikh pokazatelei RF na osnove DSGE–modeli [Decomposition of the Structural Shocks Contribution to the Russian Macroeconomic Indicators Dynamics on the Basis of the DSGE Model]. Ekonomicheskaia politika [Economic Policy], 2015, vol. 10, no. 2, pp. 20–42. (In Russian)
Ivashchenko S. M. Dinamicheskaia stokhasticheskaia model’ obshchego ekonomicheskogo ravnovesiia s bankovskim sektorom i endogennymi defoltami firm [Dynamic Stochastic General Equilibrium Model with Banks and Endogenous Defaults of Firms]. Zhurnal Novoi ekonomicheskoi assotsiatsii [Journal of the New Economic Association], 2013, no. 3 (19)
, pp. 27–50. (In Russian)
Ivashchenko S. M. DSOER-model’ Rossii s 5 sektorami [DSGE model of Russia with 5 industries]. No Ec-01/15, Working Papers from European University at St. Petersburg, Department of Economics, 2015. Available at: http://www.eu.spb.ru/images/ec_dep/wp/Ec-01_15.pdf p.1-25 (accessed: 10.10.15). (In Russian)
Adolfson M., Linde J., Villani M. Forecasting Performance of an Open Economy DSGE Model. Econometric Reviews, 2007, vol. 26 (2–4), pp. 289–328.
Blanchard O., Kahn C. M. The Solution of Linear Difference Models under Rational Expectations. Econometrica, 1980, vol. 48, no. 5, pp. 1305–1311.
Canova F. Methods for Applied Macroeconomic Research. Princeton, Princeton University Press, 2007, pp. 1–512.
Carvalho C., Lee J. W. Sectoral price facts in a sticky-price model. Staff Reports from Federal Reserve Bank of New York, 2011, no. 495, pp. 1–53.
O’Doherty J., Tol R. An Environmental Input-Output Model for Ireland. The Economic and Social Review, 2007, vol. 38, issue 2, pp. 157–190.
Lee J. W. Heterogeneous Households in a Sticky Price Model. Departmental Working Papers from Rutgers University. Department of Economics. No 2010-01, pp. 1–46
Lombardo G., Ravenna F. The size of the tradable and non-tradable sectors: Evidence from input–output tables for 25 countries. Economics Letters, 2012, vol. 116, issue 3, pp. 558–561.
Lucas R. E. Econometric Policy Evaluation: A Critique. Carnegie-Rochester Conference Series on Public Policy, 1976, vol. 1, issue 1, pp. 19–46.
Malakhovskaya O., Minabutdinov A. Are commodity price shocks important? A Bayesian estimation of a DSGE model for Russia. International Journal of Computational Economics and Econometrics, 2014, vol. 4, issue 1/2, pp. 148–180.
Negro M. del, Schorfheide F. DSGE Model-Based Forecasting. Staff Reports from Federal Reserve Bank of New York, 2012, no. 554, pp. 1–95.
Ojeda J., Parra-Polania J., Vargas C. Natural-Resource Booms, Fiscal Rules and Welfare in a Small Open Economy. Borradores de Economia from Banco de la Republica de Colombia, 2014, no. 807, pp. 1–32.
Rubaszek M., Skrzypczynski P. On the Forecasting Performance of a Small-Scale DSGE Model. International Journal of Forecasting, 2008, vol. 24, no. 3, pp. 498–512.
Rudolf B., Zurlinden M. A compact open economy DSGE model for Switzerland. Economic Studies from Swiss National Bank, no. 2014-08, pp. 1–64.
Schmitt-Grohe S., Uribe M. Solving dynamic general equilibrium models using a second-order approximation to the policy function. Journal of Economic Dynamics and Control, 2004, vol. 28(4), pp. 755–775.
Tovar C. DSGE Models and Central Banks. Economics — The Open-Access, Open-Assessment E-Journal, 2009, vol. 3, pp. 1–31.
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Published
2016-09-30
How to Cite
Иващенко, С. М. (2016). Multiple Sectors DSGE Model of Russia. St Petersburg University Journal of Economic Studies, (3), 176–202. https://doi.org/10.21638/11701/spbu05.2016.310
Issue
Section
Mathematical models in economics
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Articles of the St Petersburg University Journal of Economic Studies are open access distributed under the terms of the License Agreement with Saint Petersburg State University, which permits to the authors unrestricted distribution and self-archiving free of charge.
