Vector model of error corrections for assessing the impact of shocks in global oil prices on GDP of the Republic of Azerbaijan
Автор: Ayyubova N.S.
Журнал: Известия Санкт-Петербургского государственного экономического университета @izvestia-spgeu
Рубрика: Глобализация и мирохозяйственные процессы
Статья в выпуске: 1 (139), 2023 года.
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The article presents the results of an econometric analysis of fluctuations in world oil prices, their impact on the national economy of Azerbaijan and the determination of the integrability of time series. The study of the dynamics of the functioning of time series based on the initial data revealed their non-stationarity, which does not allow the construction of a "qualitative" predictive model. To achieve the goals of the study and "improve the quality" of the model being formed, which is used to calculate predictive estimates, the corresponding econometric procedures were carried out and the integrability of time series was investigated. The paper analyzes the mutual influence of world oil prices (external and internal factors) on the country's GDP. In particular, the method of vector error correction model - VECM is used. The test is based on the use of cointegration equations between variables, where the length of lags and Granger causality definitions are solved within this model.
Gdp, world oil prices, economic and mathematical model, error correction vector model
Короткий адрес: https://sciup.org/148326203
IDR: 148326203