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The analysis of the dynamics of the Russian economy using the output gap indicator

Author

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  • A. V. Zubarev

    (Center for the Study of Central Banks of the Russian Presidential Academy of National Economy and Public Administration (RANEPA))

  • P. V. Trunin

    (Center for the Study of Central Banks of the Russian Presidential Academy of National Economy and Public Administration (RANEPA))

Abstract

In this paper we estimate the indicator output gap for the Russian economy in 2000–2015 using univariate and multivariate versions of the Hodrick–Prescott filter and the Kalman filter for the model of unobserved components (taking into account the Phillips curve). The calculation results show a slowdown of potential output after 2014.

Suggested Citation

  • A. V. Zubarev & P. V. Trunin, 2017. "The analysis of the dynamics of the Russian economy using the output gap indicator," Studies on Russian Economic Development, Springer, vol. 28(2), pages 126-132, March.
    • Handle: RePEc:spr:sorede:v:28:y:2017:i:2:d:10.1134_s1075700717020149
    DOI: 10.1134/S1075700717020149
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    References listed on IDEAS

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    1. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
    2. Leo Butler, 1996. "The Bank of Canada's New Quarterly Porjection Model Part 4 : A Semi- Structural Method to Estimate Potential Output : Combining Economic Theory with a Time-Series Filter," Technical Reports 77, Bank of Canada.
    3. Ващелюк Наталья Васильевна & Полбин Андрей Владимирович & Трунин Павел Вячеславович, 2015. "Оценка Макроэкономических Эффектов Шока Дкп Для Российской Экономики," Higher School of Economics Economic Journal Экономический журнал Высшей школы экономики, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», vol. 19(2), pages 169-198.
    4. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
    5. Naoko Hara & Naohisa Hirakata & Yusuke Inomata & Satoshi Ito & Takuji Kawamoto & Takushi Kurozumi & Makoto Minegishi & Izumi Takagawa, 2006. "The New Estimates of Output Gap and Potential Growth Rate," Bank of Japan Review Series 06-E-3, Bank of Japan.
    6. Takuji Fueki & Ichiro Fukunaga & Hibiki Ichiue & Toshitaka Sekine & Toyoichiro Shirota, 2010. "Measuring Potential Growth in Japan: Some Practical Caveats," Bank of Japan Review Series 10-E-1, Bank of Japan.
    7. Michael Graff, 2004. "Estimates of the output gap in real time: how well have we been doing?," Reserve Bank of New Zealand Discussion Paper Series DP 2004/04, Reserve Bank of New Zealand.
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    Cited by:

    1. T. V. Blinova & V. A. Rusanovskii & V. A. Markov, 2021. "Estimating the Impact of Economic Fluctuations on Unemployment in Russian Regions Based on the Okun Model," Studies on Russian Economic Development, Springer, vol. 32(1), pages 103-110, January.
    2. Polbin, Andrey & Skrobotov, Anton, 2017. "Спектральная Оценка Компоненты Бизнес Цикла Ввп России С Учетом Высокой Зависимости От Условий Торговли [Spectral estimation of the business cycle component of the Russian GDP under high dependence," MPRA Paper 78667, University Library of Munich, Germany.

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