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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 on the terms of trade]

Author

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  • Polbin, Andrey
  • Skrobotov, Anton

Abstract

The article proposes a new approach for estimation of the business cycle component of the Russian GDP. At the first step, the non-stationary component consisting of a deterministic trend with structural breaks, and components characterizing the long-run impact of oil prices on the Russian economy are eliminated from the series of GDP (in logs). At the second step, the component of the business cycle with a periodicity of fluctuations from 6 to 32 quarters is extracted from the stationary residuals using spectral analysis methods. We find that the business cycle component for the period from 2014 to 2016 was zero while other methods give negative estimates. Besides, the magnitude of cyclical fluctuations has decreased.

Suggested Citation

  • 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.
    • Handle: RePEc:pra:mprapa:78667
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    File URL: https://mpra.ub.uni-muenchen.de/78667/1/MPRA_paper_78667.pdf
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    Cited by:

    1. Bozhechkova, Alexandera V. (Божечкова, Александра В.) & Polbin, Andrey V. (Полбин, Андрей В.), 2018. "Evidence for the Interest Rate Channel in the IS Curve for the Russian Economy [Тестирование Наличия Процентного Канала В Кривой Is Для Российской Экономики]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 1, pages 70-91, February.

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    More about this item

    Keywords

    business cycle; output gap; Russian economy; GDP; oil prices; cointegrating regression; structural breaks; spectral analysis; band pass filter;
    All these keywords.

    JEL classification:

    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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