出版社：Bank of Finland Institute for Economies in Transition (BOFIT)
摘要：We apply an econometric approach developed specifically to address the ‘curse of dimen-sionality’ in Russian data and estimate a Bayesian vector autoregression model comprising 14 major domestic real, price and monetary macroeconomic indicators as well as external sector variables. We conduct several types of exercise to validate our model: impulse re-sponse analysis, recursive forecasting and counter factual simulation. Our results demon-strate that the employed methodology is highly appropriate for economic modelling in Russia. We also show that post-crisis real sector developments in Russia could be accurate-ly forecast if conditioned on the oil price and EU GDP (but not if conditioned on the oil price alone).
关键词：Bayesian vector autoregression; forecasting; Russia
