Построение и калибровка DSGE модели для российской экономики с использованием импульсных откликов векторной авторегрессии
DOI:
https://doi.org/10.22394/1993-7601-2024-73-5-34Ключевые слова:
DSGE модели, инвестиционный акселератор, цены на нефть, условия торговли, российская экономика, денежно-кредитная политикаАннотация
В работе предлагается двухсекторная макроэкономическая модель российской экономики в рамках стандартных предпосылок неокейнсианских DSGE моделей, используемых для моделирования потребления домохозяйств, жесткостей цен и заработных плат, эндогенной загрузки капитала. Рассмотрено два варианта описания инвестиционного процесса: традиционный подход с издержками изменения инвестиций, и подход, использующий модель инвестиционного акселератора. Параметры модели калибруются на основе минимизации расстояния между теоретическими и «эмпирическими» функциями импульсного отклика на шок условий торговли, полученными из оценки простых ARX моделей с условиями торговли в качестве экзогенной переменной. Построенная модель достаточно точно воспроизводит влияние условий торговли на российскую экономику для обоих вариантов моделирования инвестиций. На основе откалиброванной модели проанализировано влияние шока денежно-кредитной политики на макроэкономические показатели и построена историческая декомпозиция динамики макроэкономических показателей по расширенному набору структурных шоков экономических переменных.Организации
Андрей Полбин выполнил исследование для данной статьи в рамках гранта, предоставленного Министерством науки и высшего образования Российской Федерации (соглашение о предоставлении гранта № 075-15-2022-326).Скачивания
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Altig D., Christiano L. J., Eichenbaum M., Linde J. (2011). Firm-specific capital, nominal rigidities and the business cycle. Review of Economic Dynamics, 14 (2), 225–247. DOI: 10.1016/j.red.2010.01.001.
Andreyev M., Polbin A. (2022). Monetary policy for a resource-rich economy and the zero lower bound.
Ekonomicheskaya Politika, 17 (3), 44–73. DOI: 10.18288/1994‑5124‑2022‑3‑44‑73.
Baluta V. I., Shul’ts D. N., Lavrinenko P. A. (2022). Assessing the impact of global hydrocarbon prices on the Russian economy based on the DSGE model with capital‑owning firms. Studies on Russian Economic Development, 33 (1), 107–117. DOI: 10.1134/S1075700722010038.
Boivin J., Giannoni M. P. (2006). Has monetary policy become more effective? Review of Economics
and Statistics, 88 (3), 445–462. DOI: 10.1162/rest.88.3.445.
Calvo G. A. (1983). Staggered prices in a utility‑ maximizing framework. Journal of Monetary Economics,
12, 383–398. DOI: 10.1016/0304‑3932(83)90060‑0.
Chari V. V., Kehoe P. J., McGrattan E. R. (2008). Are structural VARs with long-run restrictions useful in developing business cycle theory? Journal of Monetary Economics, 55 (8), 1337–1352. DOI: 10.1016/j.jmoneco.2008.09.010.
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Chernozhukov V., Hong H. (2003). An MCMC approach to classical estimation. Journal of Econometrics,
115 (2), 293–346. DOI: 10.1016/S0304‑4076(03)00100‑3.
Christiano L. J., Eichenbaum M., Evans C. L. (2005). Nominal rigidities and the dynamic effects of a shock to monetary policy. Journal of Political Economy, 113 (1), 1–45. DOI: 10.1086/426038.
Christiano L. J., Eichenbaum M., Vigfusson R., Kehoe P. J., Watson M. W. (2006). Assessing structural
VARs [with comments and discussion]. NBER Macroeconomics Annual, 21, 1–105.
DOI: 10.1086/ma.21.25554953.
Christiano L. J., Trabandt M., Walentin K. (2011). Introducing financial frictions and unemployment into a small open economy model. Journal of Economic Dynamics and Control, 35 (12), 1999–2041. DOI: 10.1016/j.jedc.2011.09.005.
Christiano L. J., Trabandt M., Walentin K. (2010). DSGE models for monetary policy analysis. In: Handbook of Monetary Economics, 3, 285–367. DOI: 10.1016/B978‑0‑444‑53238‑1.00007‑7.
Clark J. M. (1917). Business acceleration and the law of demand: A technical factor in economic cycles.
Journal of Political Economy, 25 (3), 217–235. DOI: 10.1086/252958.
Coibion O., Gorodnichenko Y. (2011). Strategic interaction among heterogeneous price‑setters in an estimated DSGE model. Review of Economics and Statistics, 93 (3), 920–940. DOI: 10.1162/REST_a_00102.
Dupor B., Han J., Tsai Y. C. (2009). What do technology shocks tell us about the New Keynesian paradigm? Journal of Monetary Economics, 56 (4), 560–569. DOI: 10.1016/j.jmoneco.2009.03.016.
Eberly J., Rebelo S., Vincent N. (2012). What explains the lagged‑ investment effect? Journal of Monetary Economics, 59 (4), 370–380. DOI: 10.1016/j.jmoneco.2012.05.002.
Erceg C. J., Guerrier L., Gust C. (2006). SIGMA: A new open economy model for policy analysis. International Journal of Central Banking, 2 (1), 111–144.
Fernández‑Villaverde J., Rubio‑Ramírez J. F., Sargent T. J., Watson M. W. (2007). ABCs (and Ds)
of understanding VARs. American Economic Review, 97 (3), 1021–1026. DOI: 10.1257/aer.97.3.1021.
Inoue A., Shintani M. (2018). Quasi‑ Bayesian model selection. Quantitative Economics, 9 (3),
1265–1297. DOI: 10.3982/QE587.
Ivashchenko S. (2022). Dynamic stochastic general equilibrium model with multiple trends and structural
breaks. Russian Journal of Money and Finance, 81 (1), 46–72. DOI: 10.31477/rjmf.202201.46.
Kilian L. (2009). Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. American Economic Review, 99 (3), 1053–1069.
Kilian L., Murphy D. P. (2012). Why agnostic sign restrictions are not enough: Understanding the dynamics of oil market VAR models. Journal of the European Economic Association, 10 (5), 1166–1188. DOI: 10.1257/aer.99.3.1053.
Kormilitsina A. (2011). Oil price shocks and the optimality of monetary policy. Review of Economic Dynamics, 14 (1), 199–223. DOI: 10.1016/j.red.2010.11.001.
Koyck L. M. (1954). Distributed lags and investment analysis. North‑Holland Publishing Company.
Kreptsev D., Seleznev S. (2018). Forecasting for the Russian economy using small‑ scale DSGE models.
Russian Journal of Money and Finance, 77 (2), 51–67. DOI: 10.31477/rjmf.201802.51.
Lucca D. (2007). Resuscitating time-to-build. https://editorialexpress.com/cgi-bin/conference/download.
cgidb_name=SED2007&paper_id=909.
Lucas R. E. (1976). Econometric policy evaluation: A critique. Carnegie‑Rochester Conference Series on Public Policy, 1, 19–46. DOI: 10.1016/S0167‑2231(76)80003‑6.
Polbin A., Sinelnikov‑Murylev S. (2021). A simple macro‑econometric simultaneous equation model for the Russian economy. Post‑Communist Economies, 33 (5), 587–613. DOI: 10.1080/14631377.2020.1793607.
Rotemberg J. J., Woodford M. (1997). An optimization‑based econometric framework for the evaluation of monetary policy. NBER Macroeconomics Annual, 12, 297–346.
Schmitt‑Grohé S., Uribe M. (2003). Closing small open economy models. Journal of Economic Dynamics
and Control, 61, 163–185. DOI: 10.1016/S0022‑1996(02)00056‑9.
Schmitt‑Grohé S., Uribe M. (2011). Business cycles with a common trend in neutral and investment‑specific productivity. Review of Economic Dynamics, 14 (1), 122–135. DOI: 10.1016/j.red.2010.07.001.
Shibata A., Shintani M., Tsuruga T. (2019). Current account dynamics under information rigidity and imperfect capital mobility. Journal of International Money and Finance, 92, 153–176. DOI: 10.1016/j.jimonfin.2018.12.001.
Smets F., Wouters R. (2003). An estimated dynamic stochastic general equilibrium model of the euro area. Journal of the European Economic Association, 1 (5), 1123–1175. DOI: 10.1162/154247603770383415.
Uribe M., Yue V. Z. (2006). Country spreads and emerging countries: Who drives whom? Journal of International Economics, 69 (1), 6–36. DOI: 10.1016/j.jinteco.2005.04.003.
Zeev N. B., Pappa E., Vicondoa A. (2017). Emerging economies business cycles: The role of commodity
terms of trade news. Journal of International Economics, 108, 368–376. DOI: 10.1016/j.jinteco.2017.07.008.
