voprecotestВопросы экономикиVoprosy Ekonomiki0042-8736Voprosy Ekonomiki, NP10.32609/0042-8736-2022-9-34-52voprecotest-3929Research ArticleМАКРОЭКОНОМИКАMACROECONOMICSПостроение индикаторов макроэкономической неопределенности для РоссииMacroeconomic uncertainty indicators for Russiahttps://orcid.org/0000-0001-5298-1515ПрилепскийИ. В.PrilepskiyI. V.

Прилепский Илья Владимирович, к. ф.-м. н., руководитель направления «Международная экономика» ЭЭГ, с.  н.  с. Центра бюджетного анализа и прогнозирования НИФИ Минфина России

Москва

Ilya V. Prilepskiy

Moscow

iprilepskiy@eeg.ruЭкономическая экспертная группа; Научно-исследовательский финансовый институт Министерства финансов Российской ФедерацииРоссияEconomic Expert Group; Financial Research Institute, Ministry of Finance of the Russian FederationRussian Federation202206092022093452Copyright © Voprosy Ekonomiki, NP, 20222022Voprosy Ekonomiki, NPVoprosy Ekonomiki, NPhttps://www.vopreco.ru/jour/about/submissions#copyrightNoticehttps://www.vopreco.ru/jour/article/view/3929

Роль «неопределенности» как одного из ключевых каналов воздействия шоков на экономику, будь то финансовые шоки 2007—2009 гг., пандемия 2020—2022 гг. или санкционные шоки, регулярно подчеркивается международными организациями и экспертным сообществом. Но как измерить неопределенность и ее эффекты? Традиционно в качестве индикаторов используются финансовые переменные, оценки на основе анализа публикаций СМИ или дисперсии экспертных прогнозов и опросов фирм. В данной работе для российского случая применяется альтернативный подход к неопределенности как непредсказуемости экономической динамики: она оценивается как взвешенное среднее стандартных отклонений ошибок прогнозов для широкого спектра макроэкономических и макрофинансовых переменных; прогнозы строятся в рамках факторной модели на основе большого массива данных. Построенные показатели неопределенности на 1, 3 и 12 месяцев вперед демонстрируют более выраженную персистентность и контрцикличность по сравнению с альтернативными индикаторами. Выявлено значимое негативное влияние шоков неопределенности на выпуск и уровень цен, что указывает на важность изучения взаимного влияния неопределенности и эффективности контрциклической макроэкономической политики.

The role of uncertainty as one of the key channels for transmission of shocks, such as financial shocks in 2008—2009, pandemic in 2020—2022, or sanctions, is regularly highlighted by experts and international organizations. How to measure uncertainty and its effects in practice? Indicators based on financial variables, text analysis of media publications, variance in expert forecasts or firms’ expectations have been traditionally used for these purposes. This paper uses an alternative approach for the Russian case. Uncertainty is estimated as “unforecastibility” of future economic dynamics, that is, as a weighted average of standard deviations of forecast errors for the wide range of macroeconomic and macrofinancial variables. The forecasts are constructed through a factor model based on “big data”. The estimated uncertainty indicators for 1, 3 and 12 months ahead show stronger persistence and countercyclicality compared to alternative indicators. Significant impact of uncertainty shocks on output and CPI is demonstrated, underscoring the need for analysis of mutual impact of uncertainty and effectiveness of countercyclical economic policies.

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