Research Seminar of International Laboratory for Macroeconomic Analysis and Laboratory for Macro-Structural Modeling of the Russian Economy: Ivashchenko Sergey: «Sector-Specific Supply and Demand Shocks: Joint Identification»
Dear Colleagues,
International Laboratory for Macroeconomic Analysis and Laboratory for Macro-Structural Modeling of the Russian Economy invites everyone to join our research seminar on the 22nd of November 2023 (Wednesday) at 11:00 AM (Moscow).
Speaker: Ivashchenko Sergey - Bank of Russia (St. Petersburg)
Theme: «Sector-Specific Supply and Demand Shocks: Joint Identification»
Abstract:
This article proposes a technique for computing sign restrictions in large-scale models. The technique is applied to a Bayesian vector autoregression (BVAR) model with 16 industries (16 growth rates, 16 inflations), and the interest rate. The results demonstrate that the suggested technique can yield different implications for the density of relevant measures compared to the conventional random draw approach. The usage of industry specific data and identification of demand and supply shock have large influence on identification of MP-shocks. It reveals important elements of transmission mechanics of monetary policy including differences in magnitude (up to 10-100 times) and shape of responses on MP-shocks, differences in historical decomposition, differences in importance of demand and supply shocks for interest rates dynamic. Variance decomposition shows decrease of relative importance of its own shocks to industries with switching from short-run to long-run decomposition. There are some similarities with input-output tables and some differences those open questions for future researches.
Working language: Russian
Place: Pokrovsky Boulevard 11, room T510
Looking forward to see you.