Building a GVAR Model for the Russian Economy

HSE Economic Journal Pub Date : 2023-01-01 DOI:10.17323/1813-8691-2023-27-1-9-32

A. Zubarev, M. Kirillova

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Abstract

The relationship between the economies of various countries and their dependence on the world markets indicate that for econometric analysis of the impact of external shocks on a particular economy, it is necessary to use a model of the global economy. The aim of this paper is to build a global vector autoregression model (GVAR), including Russia as one of the regions, and to obtain the impact of some external economic shocks on Russian macroeconomic indicators. We build a model that includes 41 of the world's major economies, including Russia, and the oil market. The special features of our model are structural shifts in the dynamics of Russian output and the new specification of oil supply and oil demand. Impulse response functions are used to obtain quantitative estimates. In this paper, we analyze the reaction of outputs, oil production volumes and oil prices in response to the output shocks of China and the United States. In response to the negative shock of output in the world's leading economies, outputs in the rest of the world declined for at least the first year after the shock. There was also a significant decline in oil prices and no significant change in oil production volumes in most countries. In addition, as part of the conditional forecast, we estimated the impact of the decline in global demand due to the Covid-19 pandemic on the Russian GDP as 1,3% drop. The rest of the decline in Russian GDP can be attributed to the internal effects of the pandemic (lockdown). We also obtained a scenario forecast of the dynamics of Russian GDP depending on a decrease in trade and Russian oil price discount, within which the fall in Russian output could reach 3.3% in 2022. © 2023 Publishing House of the Higher School of Economics. All rights reserved.

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构建俄罗斯经济GVAR模型

各国经济之间的关系及其对世界市场的依赖表明，为了对外部冲击对某一特定经济体的影响进行计量经济学分析，有必要使用全球经济模型。本文的目的是建立一个全球向量自回归模型(GVAR)，将俄罗斯作为一个地区，并获得一些外部经济冲击对俄罗斯宏观经济指标的影响。我们建立了一个模型，其中包括包括俄罗斯在内的41个世界主要经济体和石油市场。我们模型的特点是俄罗斯产出动态的结构性转变和石油供需的新规范。脉冲响应函数用于定量估计。本文分析了产量、石油产量和油价对中美两国产量冲击的反应。为了应对世界主要经济体产出的负面冲击，世界其他地区的产出至少在冲击后的第一年出现了下降。大多数国家的石油价格也大幅下降，石油产量没有显著变化。此外，作为有条件预测的一部分，我们估计2019冠状病毒病大流行导致的全球需求下降对俄罗斯GDP的影响为下降1.3%。俄罗斯国内生产总值下降的其余部分可归因于大流行(封锁)的内部影响。我们还获得了俄罗斯GDP动态的情景预测，这取决于贸易减少和俄罗斯油价折扣，其中俄罗斯产出的下降可能在2022年达到3.3%。©2023高等经济学院出版社。版权所有。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

HSE Economic Journal Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The HSE Economic Journal publishes refereed papers both in Russian and English. It has perceived better understanding of the market economy, the Russian one in particular, since being established in 1997. It disseminated new and diverse ideas on economic theory and practice, economic modeling, applied mathematical and statistical methods. Its Editorial Board and Council consist of prominent Russian and foreign researchers whose activity has fostered integration of the world scientific community. The target audience comprises researches, university professors and graduate students. Submitted papers should match JEL classification and can cover country specific or international economic issues, in various areas, such as micro- and macroeconomics, econometrics, economic policy, labor markets, social policy. Apart from supporting high quality economic research and academic discussion the Editorial Board sees its mission in searching for the new authors with original ideas. The journal follows international reviewing practices – at present submitted papers are subject to single blind review of two reviewers. The journal stands for meeting the highest standards of publication ethics.