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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.

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