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Andrej Polbin 1, Anton Skrobotov 2
  • 1 Russian Presidential Academy of National Economy and Public Administration; Gaidar Institute for Economic Policy (IEP), 82, Vernadskogo prosp., 117517, Moscow, Russian Federation; 5, Gazetny lane., Moscow, 125009, Russia
  • 2 Russian Presidential Academy of National Economy and Public Administration, 82, Vernadskogo prosp., Moscow, 119571, Russian Federation

Testing for Structural Breaks in the Long-run Growth Rate of the Russian Economy

2016. Vol. 20. No. 4. P. 588–623 [issue contents]

The paper is devoted to testing for and dating structural breaks in the long-run growth rate of the structural component of the Russian GDP. To solve this problem we use the metho­dology of cointegrating regression in which we allow the long-run dependence of the logarithm of the Russian real GDP on the logarithm of the real oil prices. Also, cointegrating regression equation includes the deterministic linear trend in which breaks in the slope are allowed (without any level shifts). This deterministic trend is interpreted as long run level of the structural component of the Russian GDP. The empirical results are in favor of the existence of two structural breaks in the long-run growth rate of the structural component in the period from 1995: in the 3rd quarter of 1998 and in the 3rd quarter of 2007. The point estimate of the second break three quarters early than the corresponding estimates from the univariate statistical tests. This result could indicate that the structural problems of the Russian economy started before the crisis of 2008–2009 and the relatively high growth rate immediately before this crisis was due to sharp oil prices increase.

The empirical results also show that in the cointegrating regression with piecewise continuous linear trend, the long-run elasticity of oil prices decreases approximately by 2 in comparison to estimates obtained in the literature with similar models without allowing existence of structural breaks. Our estimate of the elasticity is about 0,1. The estimate of the long-run growth rate of the structural component is about 5,3% per year until the 3rd quarter of 2007 and about 1,3% per year in subsequent periods. We haven’t found evidences for the presence of the third break in the vicinity of the current economic crisis.
Citation: Polbin A., Skrobotov A. (2016) Testirovanie nalichiya izlomov v trende strukturnoy komponenty VVP Rossiyskoy Federatsii [Testing for Structural Breaks in the Long-run Growth Rate of the Russian Economy]. HSE Economic Journal , vol. 20, no 4, pp. 588-623 (in Russian)
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