Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices

28 Pages Posted: 22 Jan 2016 Last revised: 25 Jan 2016

See all articles by Sergey V. Smirnov

Sergey V. Smirnov

National Research University Higher School of Economics

Nikolai Kondrashov

National Research University Higher School of Economics

A. Petronevich

Université Paris I Panthéon-Sorbonne

Date Written: January 22, 2016

Abstract

This paper establishes a reference chronology for the Russian economic cycle from the early 1980s to mid-2015. To detect peaks and troughs, we tested nine monthly indices as reference series, three methods of seasonal adjustments (X-12-ARIMA, TRAMO/SEATS, and CAMPLET), and four methods for dating cyclical turning points (local min/max, Bry-Boschan, Harding-Pagan, and Markov-Switching model). As these more or less formal methods led to different estimates, any sensible choice was possible only on the grounds of informal considerations. The final set of turning points looks plausible and separates expansions and contractions in an explicable manner, but further discussions are needed to establish a consensus between experts.

Keywords: Economic Cycle, Turning Points, Recession, Russia

JEL Classification: E32

Suggested Citation

Smirnov, Sergey V. and Kondrashov, Nikolai and Petronevich, A., Dating Cyclical Turning Points for Russia: Formal Methods and Informal Choices (January 22, 2016). Higher School of Economics Research Paper No. WP BRP 122/EC/2016. Available at SSRN: https://ssrn.com/abstract=2720134 or http://dx.doi.org/10.2139/ssrn.2720134

Sergey V. Smirnov (Contact Author)

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

Nikolai Kondrashov

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

A. Petronevich

Université Paris I Panthéon-Sorbonne ( email )

12 place du Panthéon
Paris, 75005
France

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