Estimation of the Sensitivity of the EAEU Members to External Shocks Using the GVAR Model

Andrey V. Zubarev – Head of the Laboratory of Applied Macroeconomic Research of the Russian Presidential Academy of National Economy and Public Administration, Candidate of Economic Sciences (Moscow, Russia). E-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

Maria A. Kirillova – Junior Researcher of the Russian Presidential Academy of National Economy and Public Administration (Moscow, Russia). E-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

Small open economies, such as the EAEU economies, are affected by various external local (occurring in partner countries) and global shocks. We built an econometric global vector autoregression model (GVAR), including a model for Russia, EAEU member states and 40 other major economies.

All EAEU countries demonstrate a decrease in output under a negative output shock in China, but neither Russia nor Kazakhstan reduces oil production in response to it. In response to a similar EAEU output shock, all countries except Kazakhstan cut output, and the strongest effect is observed in Armenia, while Russia significantly but extremely weakly increases oil production. When oil production in the Persian Gulf countries (and some others) falls and oil prices rise following it, output growth is observed not only in oil-exporting Kazakhstan and Russia, but also in the rest of the EAEU member countries. When global oil prices fall, all EAEU countries react by reducing output and the strongest such effect is observed in Russia, Kyrgyzstan and Armenia.

The article was prepared within the framework of the research work of the state assignment of RANEPA.

Key words: global vector autoregression, GVAR, GDP, oil prices, oil production, EAEU, impulse response function.

JEL-codes: C32, E17, F47.