Template-type: ReDIF-Article 1.0
Author-Name: Anastasia Mogilat
Author-Email: mogilatan@cbr.ru
Author-Workplace-Name: Bank of Russia
Author-Name: Oleg Kryzhanovskiy
Author-Email: kryzhanovskiyoa@mail.cbr.ru
Author-Workplace-Name: Bank of Russia; Tyumen State University
Author-Name: Zhanna Shuvalova
Author-Email: shuvalovazhd@cbr.ru
Author-Workplace-Name: Bank of Russia
Author-Name: Yaroslav Murashov
Author-Email: murashovyav@mail.cbr.ru
Author-Workplace-Name: Bank of Russia
Title: DYFARUS: Dynamic Factor Model to Forecast GDP by Output Using Input-Output Tables
Abstract: DYFARUS is a dynamic factor model used for forecasting GDP. It applies cross-sectoral linkages in the Russian economy using input-output tables. The model is evaluated using an expectation maximisation algorithm and the Kalman filter on Russian and global statistics from January 2011 to December 2022. The model uses quantitative links between economic variables assessed on actual data, which progressively produce forecast values for all sectors reviewed. This study forecasts and evaluates the contributions of each sector to the future GDP path.
Classification-JEL: C53, C82, E17, C67
Keywords: GDP, sectoral analysis, dynamic factor model, Kalman filter, input-output tables
Journal: Russian Journal of Money and Finance
Pages: 3-25
Volume: 83
Issue: 2
Year: 2024
Month: June
DOI: 
File-URL: https://rjmf.econs.online/upload/iblock/c30/jf07h88m4wwavl1lnz625qx3odydaquq/Dynamic-Factor-Model-Forecast-GDP-Using-Input-Output-Tables.pdf
Handle: RePEc:bkr:journl:v:83:y:2024:i:2:p:3-25