Essais sur la prévision et modélisation d'une économie riche en ressources pétrolières

Abstract : It is generally agreed that the severity of oil markets shocks tends to decrease as does dependence of developed economies on those shocks. Developed countries are generally energy importers, and the effect of oil market shocks on oil-exporting countries may be different, especially if energy represents a large percentage of the country’s exports. In addition, the focus on commodity exports may change the relative forecasting performance of econometric models that are generally used for forecasting. This thesis studies and develops models for structural analysis and short-term forecasting of an oil-exporting economy using Russian data for all empirical applications. The first chapter is devoted to a construction of a DSGE model for a country with commodity exports. The DSGE model is estimated by Bayesian methods We find that despite a strong impact of commodity export shocks on GDP, the business cycles in Russia are mostly domestically based.. The second chapter discusses how the Bayesian methods may be applied for forecasting with a BVAR model. The third chapter applies these techniques and compares the performance of a group of non-structural models – univariate and multivariate – for forecasting a set of Russian macroeconomic indicators. In the fourth chapter, the forecasting focuses on multivariate structural (DSGE) and non-structural BVAR models. The fifth chapter quantifies the effect of different types of oil market shocks on several Russian macroeconomic variables.
Keywords : Forecasting Dsge Bvar Sbvar
Document type :
Theses
Complete list of metadatas

Cited literature [141 references]  Display  Hide  Download

https://tel.archives-ouvertes.fr/tel-02180625
Contributor : Abes Star <>
Submitted on : Thursday, July 11, 2019 - 3:39:05 PM
Last modification on : Saturday, July 13, 2019 - 1:15:42 AM

File

77157_MALAKHOVSKAYA_2019_archi...
Version validated by the jury (STAR)

Identifiers

  • HAL Id : tel-02180625, version 1

Collections

Citation

Oxana Malakhovskaya. Essais sur la prévision et modélisation d'une économie riche en ressources pétrolières. Economies et finances. Université Paris-Saclay, 2019. Français. ⟨NNT : 2019SACLN018⟩. ⟨tel-02180625⟩

Share

Metrics

Record views

136

Files downloads

72