Geodesic
Econometric modeling of the balanced potential growth
Matematičeskoe modelirovanie, Tome 32 (2020) no. 7, pp. 98-112

Voir la notice de l'article provenant de la source Math-Net.Ru

The paper provides vector autoregression model with an additional regularization problem similar to the Hodrick-Prescott filter problem for modeling a single, i.e. a balanced growth rate of the structural component of the main macroeconomic indicators of the Russian economy. The model includes real GDP without government consumption, real household consumption, real fixed capital investment, real export, real import and the real effective ruble exchange rate. The oil prices are exogenously included in the model. It is assumed that GDP without government consumption and its components have balanced potential growth rate. The actual discrepancies in time series are explained by the different long-term oil prices multipliers, and by the stochastic shocks. Based on the proposed model we calculate the impacts of the oil prices shocks and the structural component on GDP without government consumption and its components.
Keywords: potential growth rate, Russian economy, oil prices. 
@article{MM_2020_32_7_a5,
     author = {A. V. Polbin and N. D. Fokin},
     title = {Econometric modeling of the balanced potential growth},
     journal = {Matemati\v{c}eskoe modelirovanie},
     pages = {98--112},
     publisher = {mathdoc},
     volume = {32},
     number = {7},
     year = {2020},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/MM_2020_32_7_a5/}
}
TY  - JOUR
AU  - A. V. Polbin
AU  - N. D. Fokin
TI  - Econometric modeling of the balanced potential growth
JO  - Matematičeskoe modelirovanie
PY  - 2020
SP  - 98
EP  - 112
VL  - 32
IS  - 7
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/MM_2020_32_7_a5/
LA  - ru
ID  - MM_2020_32_7_a5
ER  - 
%0 Journal Article
%A A. V. Polbin
%A N. D. Fokin
%T Econometric modeling of the balanced potential growth
%J Matematičeskoe modelirovanie
%D 2020
%P 98-112
%V 32
%N 7
%I mathdoc
%U http://geodesic.mathdoc.fr/item/MM_2020_32_7_a5/
%G ru
%F MM_2020_32_7_a5
A. V. Polbin; N. D. Fokin. Econometric modeling of the balanced potential growth. Matematičeskoe modelirovanie, Tome 32 (2020) no. 7, pp. 98-112. http://geodesic.mathdoc.fr/item/MM_2020_32_7_a5/