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A simple macro-econometric simultaneous equation model for the Russian economy

Author

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  • Andrey Polbin
  • Sergey Sinelnikov-Murylev
Abstract
This paper presents a simple macro-econometric simultaneous equation model for the Russian economy. The consumption function is based on Friedman’s permanent income hypothesis. We assume that permanent income is estimated by households based on aggregate income dynamics using adaptive expectations. The paper compares two permanent income model specifications whereby either GDP or disposable income serves as the aggregate income variable. The specification based on the hypothesis where households consume a constant share of permanent GDP in constant consumer prices proved to be the best. The superior explanatory potential of this model when compared with alternative specifications supports the hypothesis that the behaviour of economic agents in the Russian economy considers Ricardian equivalence.

Suggested Citation

  • Andrey Polbin & Sergey Sinelnikov-Murylev, 2021. "A simple macro-econometric simultaneous equation model for the Russian economy," Post-Communist Economies, Taylor & Francis Journals, vol. 33(5), pages 587-613, July.
    • Handle: RePEc:taf:pocoec:v:33:y:2021:i:5:p:587-613
    DOI: 10.1080/14631377.2020.1793607
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    Cited by:

    1. Andrey Feliksovich Bedin & Alexander Vladimirovich Kulikov & Andrey Vladimirovich Polbin, 2021. "A Markov Switching VECM Model for Russian Real GDP, Real Exchange Rate and Oil Prices," International Journal of Energy Economics and Policy, Econjournals, vol. 11(2), pages 402-412.
    2. Polbin, Andrey & Sinelnikov-Murylev, Sergey, 2024. "Developing and impulse response matching estimation of the DSGE model for the Russian economy," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 73, pages 5-34.

    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory

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