Estimating the impact of terms of trade news shocks on the Russian economy

Q3 Economics, Econometrics and Finance

Applied Econometrics Pub Date : 2022-01-01 DOI:10.22394/1993-7601-2022-66-39-67

D. Sugaipov

引用次数: 0

Abstract

This paper examines the impact of terms of trade news shocks on the dynamics of output, consumption, investment, trade balance and exchange rate in Russia. News in recent work are understood as the emergence of information about future changes in the economy. To identify expected shocks, we maximize the forecast error variance share of terms of trade time series over a finite horizon of several quarters. The results indicate that news shocks have a significant effect on the Russian economy and explain almost 60% of the variance of the main indicators.

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估计贸易条件冲击对俄罗斯经济的影响

本文考察了贸易条件新闻冲击对俄罗斯产出、消费、投资、贸易平衡和汇率动态的影响。最近工作中的新闻被理解为有关未来经济变化的信息的出现。为了识别预期的冲击，我们在几个季度的有限范围内最大化贸易条件时间序列的预测误差方差份额。结果表明，新闻冲击对俄罗斯经济有显著影响，并解释了近60%的主要指标的方差。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Applied Econometrics Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

CiteScore

0.70

自引率

0.00%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.