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Мониторинг российского делового цикла на основе ежедневных данных
Modern economic life is characterized by an exponential increase of available
information and a shortening time for decision-making. Hence, the necessity for
more timely composite macroeconomic indicators is increasing (objectively), but
the supply of such instruments lags behind the demand. This paper develops
the daily Economic Stress Index (ESI) for the Russian Federation. It differs from
all previously proposed Russian high-frequency indices as it has daily indicators
for real, banking, and consumer sectors among its 17 components (along with
commonly used indicators for financial and commodity markets). In retrospect,
the ESI successfully generated “alarm signals” during the recessions of 1998,
2008—2009 and 2015—2016. As it was publicly introduced in March 2020, we
were able to trace the COVID-19 recession in Russia in real-time. Given this
experience, we believe that the proposed daily ESI may continue to be used to
monitor the Russian business cycle without any lags.