Template-type: ReDIF-Article 1.0
Author-Name: Ekaterina V. Malikova
Author-Workplace-Name: Russian Presidential Academy of National Economy and Public Administration
Author-Name: Nikita D. Fokin
Author-Workplace-Name: Russian Presidential Academy of National Economy and Public Administration
Title: Estimation of the Long-run GDP Growth Rate Using the TVP-ARX-SV Model
Title: Оценка трендового темпа роста ВВП при помощи TVP-ARX-SV-модели
Abstract: The article solves a very important problem of estimation the long-term growth rate of Russian GDP. To do this, an autoregressive model with exogenous variables with time-varying parameters and stochastic volatility (TVP-ARX-SV) is used. Oil prices are used as the only exogenous variable. The advantage of this model is the possibility of obtaining not only a time-varying long-term growth rate, but also a time-varying oil price output multiplier. Thus, the model is devoid of any restrictions on the invariance of parameters over time. The estimated trajectory of the long-term growth rate is quite close to the results of other models estimated by other authors. 
The article was written on the basis of the RANEPA state assignment research programme.
Keywords: real GDP, oil prices, long-term growth rate, time-varying parameters
Classification-JEL: C32
Journal: Russian Economic Developments
Year: 2022
Issue: 3
Month: March
Pages: 22-27
File-URL: http://www.iep.ru/files/RePEc/gai/recdev/r2225.pdf
File-Format: Application/pdf
Handle: RePEc:gai:recdev:r2225