Template-type: ReDIF-Article 1.0
Author-Name: Andrey Zubarev
Author-Email: zubarev@ranepa.ru
Author-Workplace-Name: RANEPA
Author-Name: Daniil Lomonosov
Author-Email: lomonosov-da@ranepa.ru
Author-Workplace-Name: RANEPA
Author-Name: Konstantin Rybak
Author-Email: rybak-ks@ranepa.ru
Author-Workplace-Name: RANEPA
Title: Estimation of the Impact of Global Shocks on the Russian Economy and GDP Nowcasting Using a Factor Model
Abstract: This study estimates the contribution of global supply and demand shocks and global commodity shocks to the dynamics of Russian macroeconomic indicators. The main research tool is a factor-augmented vector autoregression model, which allows for the identification of global factors in a wide range of variables. Both sign and short-term restrictions are used to identify global shocks. Through impulse response function analysis of a set of Russian indicators, it is found that all of the identified global shocks have an impact on the Russian economy. A forecast error variance decomposition reveals a significant contribution from external shocks, up to 70%, to the dynamics of key real macroeconomic indicators, while price indices and trade turnover prove to be more sensitive to domestic shocks, with a contribution of up to 50%. We also study the evolution of the impact of the shocks in question on macroeconomic variables over time, estimating the model over two sub-periods, whereby we find a qualitative change in the impact of external shocks on a number of variables, such as exports and consumption. In addition, a reduced factor model for Russian GDP nowcasting is constructed, which outperforms the medium-sized Bayesian vector autoregression model and other alternatives in terms of predictive power.
Classification-JEL: E20, F41, O47, C32, E27
Keywords: demand shocks, supply shocks, commodity shocks, FAVAR, BVAR, nowcasting, Russian economy
Journal: Russian Journal of Money and Finance
Pages: 49-78
Volume: 81
Issue: 2
Year: 2022
Month: June
DOI:
File-URL: https://rjmf.econs.online/upload/iblock/b51/Estimation-of-the-Impact-of-Global-Shocks-on-the-Russian-Economy-and-GDP-Nowcasting-Using-a-Factor-Model.pdf
Handle: RePEc:bkr:journl:v:81:y:2022:i:2:p:49-78