The Bulletin of the Institute of Economics of the Russian Academy of Sciences № 4/2023.  Finance.

Olga S. Vinogradova

Cand. Sci. (Econ.), Associate Professor, Department of Finance and Credit, Faculty of Economics, Lomonosov Moscow State University, Moscow, Russia

ORCID: 0000-0002-9575-9794

Filipp S. Kartaev

Dr. Sci. (Econ.), Head of the Department of Micro- and Macroeconomic Analysis, Faculty of Economics, Lomonosov Moscow State University, Moscow, Russia

ORCID: 0000-0001-5973-3776

IDENTIFICATION OF PROCYCLICALITY BY SPECTRAL ANALYSIS

65-88

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Abstract

The article presents an approach to identifying the procyclicality in the dynamics of macroeconomic indicators. The proposed method has been tested on the economic data for Russia (1996-2020). Regulation that takes into account the cyclical nature of the economy makes it possible to reduce the resonant effect of dynamic changes in the key determinants of the base cycle, as it implies identification of the moment when the dynamics of macroeconomic indicators change, which is a signal for a change in the monetary policy. The results obtained can be used to fine-tune the measures of the stabilization monetary policy while implementing the inflation targeting regime.

Keywords: procyclicality, monetary policy, macroeconomic indicators, spectral analysis, cyclical component.

JEL: E3, E37, E44

EDN: HTHOSS

DOI: https://doi.org/10.52180/2073-6487_2023_4_65_88

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Manuscript submission date: 10.07.2023

For citation:

Vinogradova O.S., Kartaev F.S. Identification of procyclicality by spectral analysis // Vestnik Instituta Ekonomiki Rossiyskoy Akademii Nauk. 2023. № 4. Pp. 65-88. (In Russ.). https://doi.org/10.52180/2073-6487_2023_4_65_88 EDN: HTHOSS

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