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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

Andrey Polbin and Anton Skrobotov ()

MPRA Paper from University Library of Munich, Germany

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.

Keywords: business cycle; output gap; Russian economy; GDP; oil prices; cointegrating regression; structural breaks; spectral analysis; band pass filter (search for similar items in EconPapers)
JEL-codes: C18 C22 C51 E32 F41 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cis, nep-mac and nep-tra
Date: 2017-04-20
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