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BAYESIAN APPROACH TO EVALUATE THE IMPACT OF EXTERNAL SHOCKS ON RUSSIAN MACROECONOMICS INDICATORS
- Source :
- Mir Èkonomiki i Upravleniâ, Vol 17 (1), Pp 26-40 (2017)
- Publication Year :
- 2017
- Publisher :
- Novosibirsk State University Press, 2017.
-
Abstract
- One of the promising approaches of macroeconomic modeling and quantitative assessment of the impact of external and internal factors on macroeconomy of a country, which is actively used abroad, is a Bayesian approach to the description of macroeconomic processes. In this paper we examine Bayesian vector autoregression model (BVAR) to assess the impact of external shocks, such as the price of Brent crude oil, the volatility index VIX and the Shanghai Stock Exchange Composite index, on Russian macroeconomic indicators. The results allow us to estimate the contribution of external factors as a significant in the dynamics of Russia economic variables. This approach can be successfully applied for the analysis of Russian data, which was confirmed by the results presented in the article.
- Subjects :
- Macroeconomics
0209 industrial biotechnology
Bayesian methods
Bayesian probability
02 engineering and technology
распределение Миннесоты
symbols.namesake
020901 industrial engineering & automation
Stock exchange
0202 electrical engineering, electronic engineering, information engineering
Economics
Quantitative assessment
макроэкономика
байесовская векторная авторегрессия
Minnesota prior
Volatility index
lcsh:HB71-74
lcsh:Economics as a science
macroeconomics
Bayesian vector autoregression
external shocks
внешнеэкономические шоки
Brent Crude
symbols
020201 artificial intelligence & image processing
Composite index
BVAR
Subjects
Details
- Language :
- Russian
- ISSN :
- 25420429
- Volume :
- 17
- Database :
- OpenAIRE
- Journal :
- Mir Èkonomiki i Upravleniâ
- Accession number :
- edsair.doi.dedup.....0ef2a59ba5555a339b104b47b2ae16b1