Are commodity price shocks important? A Bayesian estimation of a DSGE model for Russia Online publication date: Tue, 08-Apr-2014
by Oxana Malakhovskaya; Alexey Minabutdinov
International Journal of Computational Economics and Econometrics (IJCEE), Vol. 4, No. 1/2, 2014
Abstract: This paper constructs a DSGE model for an economy with commodity exports. We estimate the model using Russian data, making a special focus on quantitative effects of commodity price dynamics. There is a widespread belief that economic activity in Russia crucially depends on oil prices, but quantitative estimates are scarce. We estimate an oil price effect on the Russian economy in a general equilibrium framework. Our setup is similar to those of Kollmann (2001) and Dam and Linaa (2005), but we extend their models by explicitly accounting for oil revenues. In addition to standard supply, demand, cost-push, and monetary policy shocks, we include the shock of commodity export revenues. The main objective of the paper is to identify the contribution of structural shocks to business cycle fluctuations in the Russian economy. We found that despite a strong impact on GDP from commodity export shocks, business cycles in Russia are mostly domestically based.
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