Nowcasting the Output Gap in Russia Using Enterprise Monitoring Data

The output gap is one of the most important indicators used in the analysis of economic dynamics. There are many methods for calculating it, but there is no consensus in the literature on which of them is optimal, since the existing methods often give contradictory results. At the same time, the use of the existing methods faces the problem of the significant delay in the statistical information required, which does not allow for the timely calculation of the output gap indicator. The purpose of this study is to estimate and nowcast the output gap in Russia using a new method based on operational judgments reported to the Bank of Russia by economic agents participating in its regular surveys. These judgments relate, among other things, to the expectations of enterprises and their vision of the current price situation. The methodology proposed in the study identifies a set of the most significant indicators of enterprise monitoring and explains the estimates of the output gap in Russia calculated using the traditional Hodrick-Prescott filter by almost 80%. The resulting output gap graph turns out to be quite accurate and able to adequately describe the dynamics of economic activity in Russia. The method we propose is particularly useful for predicting inflection points of output gap.