Template-type: ReDIF-Article 1.0
Author-Name: Dmitry Kreptsev
Author-Email: kreptsevda@cbr.ru
Author-Workplace-Name: Bank of Russia
Author-Name: Sergei Seleznev
Author-Email: seleznevsm@cbr.ru
Author-Workplace-Name: Bank of Russia
Title: Forecasting for the Russian Economy Using Small-Scale DSGE Models
Abstract: This study examines the ability of a small-scale DSGE model to forecast the dynamics of key macroeconomic variables for the Russian economy. The study uses two versions of a standard model of a small open economy, adding a stochastic oil price trend under various assumptions about exchange rate policy. Comparison with the same size BVAR model shows DSGE models to be superior as regards exchange rate, price and interest rate forecasting and slightly inferior with respect to GDP forecasting.   
Classification-JEL: C61, E37, E47 
Keywords: Non-stationary DSGE, BVAR, forecasting
Journal: Russian Journal of Money and Finance
Pages: 51-67
Volume: 77
Issue: 2
Year: 2018
Month: June
DOI: 10.31477/rjmf.201802.51
File-URL: https://rjmf.econs.online/upload/iblock/a27/RJMF_77-02_ENG_Kreptsev.pdf
Handle: RePEc:bkr:journl:v:77:y:2018:i:2:p:51-67