Leading indicators for russia did they actually lead during the crisis of 2008 2009
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Leading Indicators for Russia: Did They Actually Lead During the Crisis of 2008-2009 PowerPoint PPT Presentation


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State University – Higher School of Economics (Moscow, Russia) “Development Center” Institute. Sergey Smirnov. Leading Indicators for Russia: Did They Actually Lead During the Crisis of 2008-2009. French-Russian Academic and Research Conference

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Leading Indicators for Russia: Did They Actually Lead During the Crisis of 2008-2009

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Leading indicators for russia did they actually lead during the crisis of 2008 2009

State University – Higher School of Economics (Moscow, Russia)

“Development Center” Institute

Sergey Smirnov

Leading Indicators for Russia: Did They Actually Lead During the Crisis of 2008-2009

French-Russian Academic and Research Conference

‘Economics, Politics, Society: New Challenges, New Opportunities’

Moscow, October 2010


Main purpose limitations

Main Purpose & Limitations

Purpose

  • Not to construct a new (‘really good’) leading indicator

  • But to test existing ones in their ability to predict cyclical turning-points in ‘real-time’

    Limitations

  • Only last recession (2008-2010)


Three consecutive tasks

Three Consecutive Tasks

  • To survey all available cyclical indicators for Russia

  • To choose regularly (monthly) published between them

  • To check the last ones for their practical usefulness in ‘real-time’


General logic methods

General Logic & Methods

Main question

  • Was it actually possible to predict a turning point some months before it occurred – relying on the dynamics of one or another leading indicator?

    Some technical remarks

  • All calculations are based on the concept of ‘growth rate cycles’ (not classic ‘business cycles’)

  • Y-o-Y percent changes (‘a month to the same month of the previous year’) are considered

  • Official ‘basic branches of economy’ index is used as a proxy for coincident cyclical index (CCI)


A full survey of available leading indicators for russia

A Full Survey of Available Leading Indicators for Russia


Five indicators at five moments in the past

Five Indicators at Five Moments in the Past

5 moments in the past

  • Oct. 2008 (shortly after the peak)

  • Feb. 2009 (near the trough)

  • July 2009 (shortly after the trough)

  • April 2010 (before the peak)

  • Oct. 2010 (just now)

    5 regular & timely indicators

  • PMI by Markit

  • CLI by OECD

  • CLI by DC

  • ICI by HSE

  • IOI by IET


Cyclical dynamics as it appeared in october 2008 shortly after the peak

Cyclical Dynamics as It Appeared in… October 2008 (shortly after the peak)

5 regular & timely indicators


Cyclical dynamics as it appeared in february 2009 near the trough

Cyclical Dynamics as It Appeared in… February 2009 (near the trough)

5 regular & timely indicators


Cyclical dynamics as it appeared in july 2009 shortly after the trough

Cyclical Dynamics as It Appeared in… July 2009 (shortly after the trough)

5 regular & timely indicators


Cyclical dynamics as it appeared in april 2010 before the peak

Cyclical Dynamics as It Appeared in…April 2010 (before the peak)

5 regular & timely indicators


Cyclical dynamics as it appeared in october 2010 just now

Cyclical Dynamics as It Appeared in… October 2010 (just now)

5 regular & timely indicators


Was an indicator useful to forecast approaching turning point

Was an Indicator Useful to Forecast Approaching Turning Point?


Conclusions

Conclusions

  • Between monthly indicators the CLI by DC is the champion! Its trajectory during this crisis looks like as if it is taken from a textbook (see the chart on the left)

  • Unexpected: CLI by OECD is almost entirely useless in forecasting turning points (because of too large a lag and maybe some ‘oversmoothing’)

  • Other leading indicators for Russia are more or less useful but their track records are not very impressive


Possible extensions

Possible Extensions

  • Construction of weekly leading indicators for Russia

  • Similar audit of leading indicators for other countries (US, Germany, etc.)


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