Dating the Russian Business Cycle, Identifying Coherence and persistence in Its Major Macroeconomic Indicators


Aidar Vafin

This  study  attempts  to  examine  the  business  cycle,  coherence,  and  persistence  of  the GDP, investment, export, consumption, and savings from the period 1992 to 2019. Keywords: BBQ algorithm, Business cycle, Causality, GDP, RussiaResearch Article

This  study  attempts  to  examine  the  business  cycle,  coherence,  and  persistence  of  the GDP, investment, export, consumption, and savings fromthe period 1992 to 2019.  We used Bry  and Boschan  quarterly  (BBQ)  algorithmto  examine  the  business  cycle,  and Granger  causality  and  correlation  tests  to  examine  the  coherence  and  persistence, respectively. The  BBQ  algorithm showed  that  the  expansion  periods  ranged  from  12 quarters to around 32 quarters; the contraction period ranged from 5 quarters to around 9  quarters.  According  to  the  results,  the  investment,  export,  consumption,  and  savings were  hit  by  the  1998  rouble  crisis,  2008  global  and  2014  Russian  financial  crisis.    The causality   test   showed   that there   are   bidirectional   causal   relationships   between investment  and GDP, as well as between savings and GDP. Additionally, the data imply that there is one-way causation between consumption and GDP, as well as between trade and GDP.The majority of variables, except for export, are extremely procyclical. As can be   observed,   all   variables   are   persistent,   which   means   that   their   values   do   not considerably deviate  from those of their preceding period. While trade  and investment are  significant,  their  persistence rate  is  weakin comparison  to  the other variables.The Great Recession, the Ruble crisis, and the post-crisis economic situations have provided a chance  for  Russia  to  reconsider  and  expedite  economic  reforms,  as  well  as  encourage diversification.  The  majority  of  these  difficulties  will  need  robust  and  comprehensive reform measures.

full version