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

摘要

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.