Working Papers of Eesti Pank 2/2018 Structural vector autoregressive models with regime-switching variances have been used to test structural identification strategies. In these models the transition probabilities are assumed to be constant over time. In reality these probabilities may... more

Senior Economist
Phone: +(00) 372 668 0907
E-mail: aleksei.netsunajev [at] eestipank.ee

Research interests:
Time series econometrics
Applied macroeconomics

2013 — PhD in economics, European University Institute, Italy
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Working Papers of Eesti Pank 5/2017 The conflict between Russia and Ukraine that started in March 2014 led to bilateral economic sanctions being imposed on each other by Russia and Western countries, including the members of the euro area. The paper investigates the impact of the sanctions on... more
Working Papers of Eesti Pank 8/2015 This paper contributes to the literature on statistical identification of macroeconomic shocks by proposing a Bayesian VAR with time–varying volatility of the residuals that depends on a hidden Markov process, referred to as an MS-SVAR.... more
Working Papers of Eesti Pank No. 9/2013 In this paper we contribute to the literature on the identification of macroeconomic shocks by proposing a Bayesian SVAR with timevarying volatility of innovations that depend on a hidden Markov process, referred to as an MS-SVAR. With... more
Working Papers of Eesti Pank No. 6/2012 The paper reconsiders the conflicting results in the debate connected to the effects of technology shocks on hours worked. Given the major dissatisfaction with the just-identifying long-run restrictions, I analyze whether the restrictions... more
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