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

Aidar   Vafin

Authors

Aidar Vafin https://orcid.org/0000-0002-2470-5043

Keywords:

BBQ algorithm, Business cycle, Causality, GDP, Russia

Abstract

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. We used Bry and Boschan quarterly (BBQ) algorithm to 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 weak in 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.

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