Andrey Polbin took part in the seminar on econometrics of time series
On April 4, Andrey Polbin, Head of Macroeconomic Modeling Department, took part in the 9th Seminar on econometrics of time series held in Zaragoza, Spain and delivered a presentation “A two-dimensional model for forecasting Russian real GDP in the context of slowing long-term growth and a change in the monetary policy regime”.
This paper based on two-dimensional ADL and ECM of econometric models, provided empirical evidence proving that there was a dome-shaped response of the real GDP of the Russian Federation to the permanent shock of oil prices under the controlled Ruble rate. In other words, controlled rate regime contributed to more volatile output fluctuations in the Russian economy in response to oil shocks.
The mode to targeting inflation contributes to the smooth adjustment of output to a new long-run equilibrium. In the proposed ADL and ECM models, there was an attempt to simultaneously take into account structural changes in monetary policy and in long-term rates of economic growth. Experiments on the construction of intra-sample forecasts showed significant improvement in the quality of forecasts using the ADL and ECM models compared to the basic ARIMA model.
The approach suggested for modeling can find its practical value for description of economies highly dependent on trade conditions.
Presentation to the report
The mode to targeting inflation contributes to the smooth adjustment of output to a new long-run equilibrium. In the proposed ADL and ECM models, there was an attempt to simultaneously take into account structural changes in monetary policy and in long-term rates of economic growth. Experiments on the construction of intra-sample forecasts showed significant improvement in the quality of forecasts using the ADL and ECM models compared to the basic ARIMA model.
The approach suggested for modeling can find its practical value for description of economies highly dependent on trade conditions.
Presentation to the report
Thursday, 18.04.2019