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Forecasting Russian Macroeconomic Indicators with BVAR
Demeshev, Boris - 2015
This paper evaluates the forecast performance of Bayesian vector autoregressions (BVARs) on Russian data. We estimate BVARs of different sizes and compare the accuracy of their out-of-sample forecasts with those obtained with unrestricted vector autoregressions and random walk with drift. We...
Persistent link: https://www.econbiz.de/10013012314
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Do Unobserved Components Models Forecast Inflation in Russia?
Gafarov, Bulat - 2013
index. I extend the model which was previously suggested as a model for inflation forecasting in the USA to take into … account a possible difference in model parameters and seasonal factor. Comparison of the out-of-sample forecasting performance … candidate for a real time forecasting method for the Russian CPI …
Persistent link: https://www.econbiz.de/10013075304
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Forecasting Moscow Ambulance Trips
Bykov, Filipp - 2015
This paper presents a method and computational technology for forecasting ambulance trips. We used statistical …
Persistent link: https://www.econbiz.de/10013025379
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Forecasting Employment In Small Businesses In Russia : The Relevance of Business Tendency Surveys
Lola, Inna; Manukov, Anton - 2020
Changes, Which Makes Forecasting In This Segment Especially Important …
Persistent link: https://www.econbiz.de/10014091295
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Are Commodity Price Shocks Important? A Bayesian Estimation of a DSGE Model for Russia
Malakhovskaya, Oxana - 2014
in Russia crucially depends on oil prices, but quantitative estimates are scarce. We estimate an oil price effect on the … found that despite a strong impact on GDP from commodity export shocks, business cycles in Russia are mostly domestically …
Persistent link: https://www.econbiz.de/10013060045
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On Persistence of Uncertainty Shocks
Egiev, Sergey - 2016
I study real effects of uncertainty shocks. Using time-varying volatility of the forecast error, I construct a two-part uncertainty metric that consists of persistent and volatile, burstlike components. These indices are used to study empirically several predictions of uncertainty models: that...
Persistent link: https://www.econbiz.de/10012985556
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The Change of Fiscal Multiplier when Switching from Managed Exchange Rate Regime to the Floating One
Pyltsyna, Ekaterina - 2019
spending multiplier was estimated for Russia. The study was conducted with the use of panel SVAR and DSGE models …
Persistent link: https://www.econbiz.de/10012896222
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Finding the Nearest Valid Covariance Matrix : A FX Market Case
Minabutdinov, Alexey - 2018
We consider the problem of finding a valid covariance matrix in the FX market given an initial non-PSD estimate of such a matrix. The standard no-arbitrage assumption implies additional linear constraints on such matrices, which automatically makes them singular. As a result, one cannot just...
Persistent link: https://www.econbiz.de/10012937920
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Constructing Retrospective Time Series of Russian Input-Output Accounts Based on the NACE/CPA Classifications
Baranov, Edward - 2015
Time series of Input-Output (IO) accounts at current and constant prices are widely applied to study the dynamics and structure of economic activity within country and conduct cross-country comparisons and analyses of globalization processes as well as their impacts. For these purposes IO...
Persistent link: https://www.econbiz.de/10013011567
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Fundamental Factors Affecting The Moex Russia Index : Structural Break Detection In A Long-Term Time Series
Lozinskaia, Agata - 2019
interest rates in Russia and the USA) on the MOEX Russia Index over long time interval from 2003 to 2018. The analysis of the … fundamental factors which are probably caused by the structural instability revealed earlier in Russia and other stock markets …
Persistent link: https://www.econbiz.de/10012861490