Abstract

The purpose of this research is to analyze the impact of external shocks on the Russian economy and build forecasts for the dynamic of Russian macroeconomic variables within the framework of a global vector autoregression model. In this study, special attention is focused on including channels for transmitting not only real but also financial shocks into the model by using different weights for aggregating variables. Also, the model for the Russian economy has been expanded by including not only variables of the real sector, but also indicators of the inflation rate and interest rate. The results provide impulse response functions for Russian indicators in response to a US interest rate shock.