Essays on forecasting and modeling an oil-rich economy.

Summary There is a consensus that the severity of shocks to oil markets is declining, as is the dependence of developed economies on these shocks. Developed countries are generally energy importers, and the effect of oil shocks on oil-exporting countries may be different, especially if they are countries whose major export is oil or oil products. In addition, the commodity export orientation may change the relative performance of econometric models that are typically used for forecasting. The thesis studies and develops models for structural analysis and short-term forecasting of an oil exporting economy where Russian data are used for all empirical applications. The first chapter is devoted to the construction of a DSGE model for a commodity exporting country. The DSGE model is estimated by Bayesian methods. We find that despite the significant impact on GDP of oil shocks, business cycles in Russia are mainly domestic in origin. The second chapter examines how Bayesian methods can be applied to forecasts using a BVAR model. The third chapter applies these techniques and compares the performance of a group of non-structural models (univariate and multivariate) to forecast a set of Russian macroeconomic indicators. In the fourth chapter, forecasting focused on structural multivariate (DSGE) and nonstructural (BVAR) models. The fifth chapter quantifies the effect of different types of oil shocks on several Russian macroeconomic variables.