The article focuses on the dynamics and interaction of such major indices of industrial politics as gross added value and investment into the fixed capital in the Russian Federation upon the introduction of sanctions. The authors use Jonahsen test to explicate the presence of co-integration between them and demonstrates the accretion of investment increases the accretion of gross added value. Based on vector autoregression models (VAR) and vector error correction model (VECM) the authors forecast the dynamics of these indices in the IV quarter of 2019. Results of interval forecasts were confirmed in practice with the error margin less than 2%, which justify the possibility of the further use of econometric models' data for the purposes of forecasting.