Mikhailov A.Yu.Financial University under Government of Russian Federation, Moscow, Russian Federation alexeyfa@ya.ru
Importance The article presents a DSGE model based on adaptive expectations theory. It shows how the developed model can be used to forecast the government bond yield and economic parameters of Russia. Objectives The aim of the study is to describe the possibility of using DSGE models forecast government bond yield in the Russian economy. Methods The paper examines how the methodology of a dynamic stochastic general equilibrium model can be used to predict the yield of government bonds in 2016–2019, offers modifications of the Taylor rule and components of forecasting the Russian ruble exchange rate, which is typical of resource-based economies, where there is a close relationship between the exchange rate and prices for raw materials. Results The paper offers a modified dynamic stochastic general equilibrium model, and a forecast of main macroeconomic indicators for 2016–2019, i.e. economic growth, inflation, ruble exchange rate, effective yield of government bonds (RGBEY). Conclusions and Relevance The monetary policy parameters are significant for determining the expected government bond yield. The paper fills a gap in the use and practical implementation of DSGE models for the Russian economy. In addition, it explains how to forecast the term structure of interest rates based on macroeconomic indicators using the stochastic endogenous growth models.
Keywords: DSGE model, macroeconomic modeling, government bond yield, economic growth
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