Multivariate unobserved component model for an oil-exporting economy: the case of Russia

ABSTRACT

This paper presents an unobserved component model for real GDP, real household consumption, and real investment of an oil-exporting economy. The model decomposes domestic variables’ dynamics into permanent and transitory components, accounting for dependence on oil prices in the short and long-run, as well as for the common long-run economic growth and the common cyclical behaviour. Estimated on the Russian macroeconomic variables, the model exhibits a strong dependence on oil prices.

KEYWORDS:

• Oil prices
• GDP
• consumption
• investment
• unobserved component model

JEL CLASSIFICATION:

• C13
• C32
• C51
• E20

Disclosure statement

No potential conflict of interest was reported by the author.

Additional information

Funding

This work was supported by the Российский Фонд Фундаментальных Исследований (РФФИ) [18-310-00365].