voprecotestВопросы экономикиVoprosy Ekonomiki0042-8736Voprosy Ekonomiki, NP10.32609/0042-8736-2022-5-26-50voprecotest-3607Research ArticleМАКРОЭКОНОМИКАMACROECONOMICSМониторинг российского делового цикла на основе ежедневных данныхMonitoring Russian business cycle with daily indicatorshttps://orcid.org/0000-0001-5177-2578СмирновС. В.SmirnovS. V.

Смирнов Сергей Владиславович, к. э. н., замдиректора Института «Центр развития» НИУ ВШЭ

Москва

Sergey V. Smirnov

Moscow

svsmirnov@hse.ruСмирновС. С.SmirnovS. S.

Смирнов Степан Сергеевич, независимый исследователь

Москва

Stepan S. Smirnov

Moscow

sssmirnov@hse.ruНациональный исследовательский университет «Высшая школа экономики»РоссияHSE UniversityRussian FederationНезависимый исследовательРоссияIndependent scientistRussian Federation202215052022052650Copyright © Voprosy Ekonomiki, NP, 20222022Voprosy Ekonomiki, NPVoprosy Ekonomiki, NPhttps://www.vopreco.ru/jour/about/submissions#copyrightNoticehttps://www.vopreco.ru/jour/article/view/3607

Современная экономическая жизнь характеризуется не только экспоненциальным ростом объемов информации, но и радикальным сокращением времени, отводимого на принятие решений. Объективно потребность в более оперативных, чем традиционные, но при этом достаточно обобщенных макроэкономических индикаторах становится все более насущной (особенно в моменты острого кризиса), однако предложение таких инструментов анализа отстает от спроса. В работе описывается методика построения ежедневного Индекса экономического стресса, среди 17 компонент которого есть показатели не только финансовых и товарных рынков (основанные на них сводные индикаторы раньше уже предлагались в экономической литературе), но и реального, банковского и потребительского секторов. В ретроспективе Индекс экономического стресса показал способность генерировать «сигналы тревоги» в периоды рецессий 1998, 2008—2009 и 2015—2016 гг. Столь же очевидные и своевременные сигналы он подавал в режиме реального времени в ходе коронакризиса 2020 г. Это позволяет думать, что и в дальнейшем он будет полезен для оперативного мониторинга российского делового цикла.

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.

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The authors declare that there are no conflicts of interest present.