Dynamical Interaction between Financial and Business Cycles
Our work is related to the recent literature on the link between business and financial cycles [Alessi, Detken, 2011; Claesens et al., 2011; Schularick, Taylor, 2011]. In our paper we will concentrate on the developments in emerging markets meaning that due to data availability our analysis will be effectively limited to the latest boom/bust episode. That closely links our work with the literature that analyses the main factors explaining output fluctuations during the crisis of 2008 [Frankel, Saravelos, 2010; Lane, Milesi-Ferretti, 2010; Cecchetti et al., 2011; Feldkircher, 2012]. Our main contribution to these strands of research is that we follow [Alberola et al., 2013; Borio et al., 2013; 2014] and employ the empirical model that enables us to decompose output fluctuations into cycle and trend components basing on the empirical relationship with various measures of imbalances. The resulting indicators may have economic interpretation as sustainable (i.e. not associated with buildup of imbalances) output and output gap.
Several official institutions (NBER, OECD, CEPR, and others) provide business cycle chronologies with lags ranging from three months to several years. In this chapter, we propose a Markov-switching dynamic factor model that allows for a more timely estimation of turning points. We apply one-step and two-step estimation approaches to French data and compare their performance. One-step maximum likelihood estimation is confined to relatively small data sets, whereas two-step approaches that use principal components can accommodate much bigger information sets. We find that both methods give qualitatively similar results and agree with the OECD dating of recessions on a sample of monthly data covering the period 1993-2014. The two-step method is more precise in determining the beginnings and ends of recessions as given by the OECD. Both methods indicate additional downturns in the French economy that were too short to enter the OECD chronology.
In this paper, we suggest an approach to the study of the financial instability based on the model of evolutionary processes. In the first place, we present some empirical facts that confirm that the stock’s price dynamics is better described by the Markov switching model rather than by the pure random walk. Further, using the equilibrium model of price formation, we show that the temporary price trends on stock market are evolutionary processes that occur in the conditions of a duality of the equilibrium between the market price and the fair value. Then, within the framework of the constructed model, we analyze the causes of the financial market instability and its impact on the real sector, and show how the financial markets create a destructive impulse under the economic growth slowdown, and therefore adversely affect the process of innovations diffusion into the market. The conducted study shows that the causes of the financial instability are the capital concentration in the narrow circles of society and the lack of investment opportunities, as compared with the available financial resources, whereas the symptoms are frequently recurring financial bubbles and crises.
This article considers the problem of autonomous recession as a drop in output not directly associated with the world economic situation, but mainly due to domestic supply and/or demand shocks. To determine possible factors of autonomous recession, we have studied the stylized facts and other characteristics of such periods in countries of the Organization for Economic Cooperation and Development in 2000–12, drawing analogies with the current Russian situation, from the standpoint of both causes of a potential recession and the response of the economic authorities, that is, a countercyclical economic policy. The latter considers global and Russian experience in determining the socalled output gap (the difference between potential and actual output), mainly using modeling approaches for Russia with “nonaccelerating inflation rate of production utilization factors.” Designs of an anticrisis policy are suggested with regard to autonomous recession, the utilization of productive potential, and the characteristic features of the Russian economy as mainly resource-based and thus unusually procyclical from the point of view of macroeconomic indicators.
We consider certain spaces of functions on the circle, which naturally appear in harmonic analysis, and superposition operators on these spaces. We study the following question: which functions have the property that each their superposition with a homeomorphism of the circle belongs to a given space? We also study the multidimensional case.
We consider the spaces of functions on the m-dimensional torus, whose Fourier transform is p -summable. We obtain estimates for the norms of the exponential functions deformed by a C1 -smooth phase. The results generalize to the multidimensional case the one-dimensional results obtained by the author earlier in “Quantitative estimates in the Beurling—Helson theorem”, Sbornik: Mathematics, 201:12 (2010), 1811 – 1836.
We consider the spaces of function on the circle whose Fourier transform is p-summable. We obtain estimates for the norms of exponential functions deformed by a C1 -smooth phase.