Template-type: ReDIF-Article 1.0
Author-Name: Artur Sharafutdinov
Author-Email: artur.sharafutdinov@phystech.edu
Author-Workplace-Name: Bank of Russia; RANEPA
Title: Forecasting Russian GDP, Inflation, Interest Rate, and Exchange Rate Using DSGE-VAR Model
Abstract: This paper compares, on Russian quarterly data for 2003–2021, the forecast performance of a small-scale dynamic stochastic general equilibrium model (DSGE model) and the DSGE-VAR model as a Bayesian vector autoregression (VAR) which uses priors from this DSGE model. The forecast performance of the DSGE-VAR model turns out to be higher than that of the DSGE model for output growth and inflation over the one-year horizon and for the interest rate and exchange rate over a two-year horizon. Meanwhile, the DSGE-VAR model, on average, predicts GDP, inflation, and the exchange rate better and the interest rate worse than the first-order autoregressive model that serves as a benchmark.
Classification-JEL: C53, E37, E47
Keywords: forecasting, DSGE-VAR, DSGE, BVAR, Russian economy
Journal: Russian Journal of Money and Finance
Pages: 62-86
Volume: 82
Issue: 3
Year: 2023
Month: September
DOI:
File-URL: https://rjmf.econs.online/upload/iblock/aa2/Forecasting-Russian-GDP-Inflation-Interest-Rate-and-Exchange-Rate-Using-DSGE-VAR-Model.pdf
Handle: RePEc:bkr:journl:v:82:y:2023:i:3:p:62-86