Alexey Ponomarenko (Bank of Russia): A large Bayesian VAR model for Russia

One of the most important limitations of macroeconomic modeling in Russia comes from the insufficiently long time series that make estimation of a comprehensive econometric model virtually implausible.  In this environment an econometric approach developed specifically to address the “curse of dimensionality” may be highly relevant for Russia. We estimate a Bayesian VAR model comprising 14 variables for the Russian economy. We conduct unconditional and conditional forecasting exercise to illustrate the model’s performance. The results provide the evidence of a close link between economic activity in Russia and in the EU.

BOFIT seminars
The seminars are open to all economists interested in the subject areas covered. Please register in advance at bofit@bof.fi or by phone +358 10 831 2268.

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