Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices

Sergey Smirnov, Nikolay Kondrashov and Anna Petronevich

HSE Working papers from National Research University Higher School of Economics

Abstract: This paper establishes a reference chronology for the Russian economic cycle from the early 1980s to mid-2015. To detect peaks and troughs, we tested nine monthly indices as reference series, three methods of seasonal adjustments (X-12-ARIMA, TRAMO/SEATS, and CAMPLET), and four methods for dating cyclical turning points (local min/max, Bry-Boschan, Harding-Pagan, and Markov-Switching model). As these more or less formal methods led to different estimates, any sensible choice was possible only on the grounds of informal considerations. The final set of turning points looks plausible and separates expansions and contractions in an explicable manner, but further discussions are needed to establish a consensus between experts

Keywords: Economic Cycle; Turning Points; Recession; Russia (search for similar items in EconPapers)
JEL-codes: E32 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2016
New Economics Papers: this item is included in nep-cis, nep-mac and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in WP BRP Series: Economics / EC, January 2016, pages 1-28

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http://www.hse.ru/data/2016/01/22/1137939683/122EC2016.pdf (application/pdf)

Related works:
Journal Article: Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices (2017)
Working Paper: Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices (2017)
Working Paper: Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:hig:wpaper:122/ec/2016

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