Leading Indicators of the Business Cycle: Dynamic Logit Models for OECD Countries and Russia
Высшая школа экономики , 2015. No. WP BRP 94/EC/2015.
In this paper, I develop the leading indicators of the business cycle turning points exploiting the quarterly panel dataset comprising OECD countries and Russia over the 1980-2013 period. Contrasting to the previous studies, I combine data on OECD countries and Russia into a single dataset and develop universal models suitable for the entire sample with a quality of predictions comparable to the analogues of single-country models. On the basis of conventional dynamic discrete dependent variable framework I estimate the business cycle leading indicator models at different forecasting horizons (from one to four quarters). The results demonstrate that there is a trade-off between forecasting accuracy and the earliness of the recession signal. Best predictions are achieved for the model with one quarter lag (approximately 94% of the observations were correctly classified with a noise-to-signal ratio of 7%). However, even the model with the four quarter lags correctly predicts more than 80% of recessions with the noise-to-signal ratio of 25% can be useful for the policy analysis. I also reveal significant gains of accounting for the credit market variables when forecasting recessions at the long horizons (four quarter lag) as their use leads to a significant reduction of the noise-to-signal ratio of the model. I propose using the “optimal” cut-off threshold of the binary models based on the minimization of regulator loss function arising from different types of wrong classification. I show that this optimal threshold improves model forecasts as compared to other exogenous thresholds.
, Вопросы экономики 2013 № 7
The objective of this study is to develop a system of leading indicators of the business cycle turning points on a wide range of countries, including Russia, over a more than thirty years period. We use a binary choice model with the dependent variable of the state of economy: the recession, there is no recession. ...
Added: June 6, 2013
, / Высшая школа экономики. Series EC "Economics". 2011. No. 02.
Contemporary global economic life is measured in days and hours, but most common economic indicators have inevitable lags of months and sometimes quarters (GDP). Moreover, the real-time picture of economic dynamics may differ in some sense from the same picture in its historical perspective, because all fluctuations receive their proper weights only in the context ...
Added: August 28, 2012
Leading indicators of turning points of the business cycle: panel data analysis for OECD countries and Russia
, / Высшая школа экономики. Series EC "Economics". 2014.
The main objective of this paper is to develop leading indicators of business cycle turning points for OECD countries and Russia, in order to reveal common factors of their macroeconomic processes over a long period of time. To predict cycle turning points, leading indicator models with a discrete dependent variable reflecting a business cycle phase ...
Added: February 20, 2014
Интегрированный подход к построению композитных индикаторов со встроенным алгоритмом оценки цикличности в динамике результатов конъюнктурного мониторинга
, , Вопросы статистики 2013 № 12 С. 23-34
This article analyze the usability of compositional indicators of market monitoring for expending the frame of traditional cyclicity of economic activity, review of use of compositional indicators throw the example of various countries and international organizations is presented. Key selection criteria for market monitoring indicators, that are used along with quantitative statistics for joined ...
Added: January 10, 2014
, / Высшая школа экономики. Series EC "Economics". 2014. No. 77.
There is evidence in the economic literature that near cyclical peaks an optimistic bias exists in private expert forecasts of real GDP growth rates. Other evidence concerns differences in the accuracy of GDP forecasts made during expansions and those made during contractions. It has also been hypothesized that a wishful bias may hamper the ability ...
Added: November 28, 2014
Russian cyclical indicators and their usefulness in real time: An experience of the 2008-09 recession
, Journal of Business Cycle Measurement and Analysis 2014 No. 1 P. 103-128
This report investigates the predictability of cyclical turning points in Russia. For years, anyone interested in Russia had access to a full set of common tools for business cycle analysis, such as several composite leading indicators, a purchasing managers’ index, enterprise and consumer sentiment indexes, and so on. However, the 2008-09 world financial crisis spread ...
Added: July 18, 2014
Предсказание поворотных точек российского экономического цикла с помощью cводных опережающих индексов
, Вопросы статистики 2020 Т. 27 № 4 С. 53-65
The article provides a brief overview of the background of constructing composite leading indicators (CLI) for Russia; the paper defines key indicators which currently are calculated and published monthly; they can be put in practice to monitor the Russian economy. The underlying methodological approaches are analyzed, along with their advantages and disadvantages. The importance of ...
Added: August 25, 2020
, , , Экономический журнал Высшей школы экономики 2015 Т. 19 № 4 С. 534-553
At first, we discuss whether the concept of economic cycles is at all applicable to the realities of the Russian economy. As for several subperiods during the last 35 years, it has been not only market but planned and transformed also, this issue is arguable. But in our opinion, all mid-term factors of total economic ...
Added: November 6, 2015
Discerning ‘Turning Points’ with Cyclical Indicators: A few Lessons from ‘Real Time’ Monitoring the 2008–2009 Recession
, / Высшая школа экономики. Series WP2 "Количественный анализ в экономике". 2011. No. 03.
The cyclical indicators approach has been used for decades but the last recession has once more rekindled an interest for them throughout the world. Several new techniques and indicators were introduced in recent years but the actual quality of these ‘newcomers‘ was not well established. During the last recession, performance of such ‘veterans’ as indexes ...
Added: December 26, 2012
, Экономический журнал Высшей школы экономики 2012 № 4 С. 479-513
В статье исследуется вопрос о том, насколько предсказуемыми являются начало и конец рецессии. На протяжении последних десяти с лишним лет для России были легко доступны практически все общеупотребительные инструменты анализа делового цикла: несколько версий сводного опережающего индекса, индекс менеджеров по снабжению, индексы предпринимательских и потребительских настроений и т.д. Тем не менее мировой кризис 2008–2009 гг. ...
Added: January 22, 2013
, , , Вопросы экономики 2023 № 10 С. 75-97
In recent decades, predicting turning points of economic cycles (their peaks and troughs) using leading indicators has established itself as a fairly simple, clear and at the same time reliable method. But the world experience has shown that any system of leading indicators requires revision and clarification from time to time. The recent non-economic shocks ...
Added: October 25, 2023
, , / Высшая школа экономики. Series EC "Economics". 2017. No. 169.
Regional statistics published by the Russian Federal State Statistics Service (Rosstat) are reviewed in terms of quality, and radical disagreement between “month-on-month” and “year-on-year” monthly statistics is identified. In view of this, an original method is proposed for estimating the level of Regional Economic Activity (REA), based on monthly official regional statistics in five key ...
Added: August 9, 2017
Экономическое развитие и циклические настроения российских предпринимателей после рецессии 2014-2016 годов
, , , Вопросы статистики 2020 Т. 27 № 1 С. 53-70
The core objective of the study, results of which are summarized in this article, is to determine the eff ectiveness of using assessments of economic agents in the analysis of sectoral and macroeconomic development. The paper tests the hypothesis of the cross impact of economic growth and entrepreneurial behavior. It is assumed that economical cyclicity ...
Added: February 26, 2020
Практика идентификации ненаблюдаемых компонент в траектории ВВП: потенциальный уровень и краткосрочные разрывы
, , et al., Вопросы статистики 2015 № 10 С. 14-25
The authors systematize the most well-known concepts and definitions of potential output and gaps according to the various economic schools approaches. The article also provides a typology of basic econometric methods for estimating potential level and output gap in the national gross product dynamics. The authors give a brief description of various econometric methods of statistical ...
Added: December 16, 2015
, Проблемы теории и практики управления 2016 № 6 С. 109-114
Methodological issues related to designing a system of indicators for tracing Russian business cycle are discussed. Several definitions of economic cycles in their application to the Russian economy are considered. Possible approaches to dating turning points, constructing composite cyclical indicators and their using for monitoring and forecasting cyclical trajectory are analyzed. ...
Added: June 29, 2016
, , et al., Экономика и предпринимательство 2015 Т. 9 № 11 С. 86-91
The article is devoted to the construction of integral index giving an estimate of the overall state of the economy. Traditionally in this purpose it used the most general indicator of GDP, its volume and dynamics. However the authors concede that use of those criterions has a lot of disadvantages. The authors have proposed and ...
Added: December 16, 2015
, , , Вопросы статистики 2016 № 12 С. 29-38
This article proposes an original method for estimating regional economic activity in Russia. It is based on monthly official regional statistics in five main sectors of the Russian economy (industry, construction, retail trade, wholesale trade and paid services) but transforms it into specially constructed dichotomous variables which eliminate an excessive volatility of initial time-series. Indices of ...
Added: December 19, 2016
, , Российский журнал менеджмента 2018 Т. 16 № 2 С. 187-204
The significant decrease in the number of banks in the Russian Federation observed recently and arising high social costs of liquidation and sanitation procedures underpin the need for continuous improvement of early-warning systems of bankruptcy. The aim of the article is to identify the key leading indicators of financial insolvency of banks. The study was ...
Added: October 9, 2018
, , Вопросы статистики 2021 Т. 28 № 2 С. 24-41
The article proposes a new set of composite indicators-predictors in business tendency surveys, which allow identifying early information signals of a cyclical nature in the economic behavior of business agents. The main criterion for the efficiency of such indicators is their sensitivity to a cyclical pattern and changes in the dynamics of statistical referents. Property ...
Added: May 11, 2021
, , Журнал институциональных исследований 2011 Т. 3 № 4 С. 34-47
The paper represents the review of contemporary approaches to the analysis of financial market imperfections and financial crises and their impact on fluctuations of the key macroeconomic variables during the business cycle as well as the transmission mechanism of financial shocks on the real economy in the framework of New Keynesian dynamic stochastic general equilibrium ...
Added: November 17, 2012
, , , / Высшая школа экономики. Series EC "Economics". 2016. No. 122.
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 ...
Added: January 22, 2016
Межстрановой опыт прогнозирования макроэкономических и кредитных кризисов и его применение для России
, , et al., Экономическая политика 2020 Т. 15 № 5 С. 130-159
This paper provides a joint analysis of business and credit cycles with a focus on unobservable factors affecting both cycles, at the cross-country level. Using quarterly data for 19 developed countries and Russia for the period from 1994 to 2018, we build a system of two dynamic probit models, which includes a cross-correlation between the ...
Added: July 9, 2021
, , / . Series " ". 2014.
The purpose of this paper is to develop a tool that would permit to identify the turning points of the business cycle of the French economy in a more timely and transparent manner than the existing institutions, such as OECD, do. We use the basic two-regime Markov Switch- ing Dynamic Factor Model and estimate it ...
Added: October 20, 2014
, , , , in : Business Cycles in BRICS. : Springer, 2019. Ch. 1. P. 1-6.
Background and motivation for a study of business cycles, business tendency surveys (BTSs), and cyclical indicators in the BRICS countries are specified. The main concepts and problems involved in monitoring and forecasting business cycles in emerging countries and countries in transition are overviewed; the importance of the experience of the BRICS in this context is ...
Added: August 20, 2018