A MARKOV SWITCHING VECM MODEL FOR RUSSIAN REAL GDP, REAL EXCHANGE RATE AND OIL PRICES
نویسندگان
چکیده
This paper considers an application of the Markov switching vector error correction model to analysis long-run and short-run dependence Russian real GDP exchange on oil prices. An algorithm for estimation with a priori information state hidden chain in some periods time is provided. It shown that period 1999–2018 two different regimes are well defined: slow adjustment rate sharp reaction response price shock fast shock. We have concluded floating ruble natural stabilizer economic activity.Keywords: economy, GDP, rate, prices, model, model.JEL Classifications: С22, C51, E52, F31, F41DOI: https://doi.org/10.32479/ijeep.10667
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ژورنال
عنوان ژورنال: International Journal of Energy Economics and Policy
سال: 2021
ISSN: ['2146-4553']
DOI: https://doi.org/10.32479/ijeep.10667