Credit Cycles: Econometric Analysis and Evidence for Russia

One of the principal problem in contemporary macroeconomics is concerned with factors increasing or decreasing economic dynamics. The mainstream approach is based on neoclassical assumptions, but recently new approaches appear mostly based on new Keynesian concepts. In present time the influence of...

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Autores principales:	N. V. Artamonov, D. V. Artamonov, V. A. Artamonov
Formato:	article
Lenguaje:	EN RU
Publicado:	MGIMO University Press 2014
Materias:	кредитные циклы циклы деловой активности ряды с единичным корнем коинтеграция модель векторной авторегрессии модель векторной коррекции ошибок функция импульсного отклика International relations JZ2-6530
Acceso en línea:	https://doaj.org/article/09e3ce239f874658ae2ccbb78d90850b
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spelling	oai:doaj.org-article:09e3ce239f874658ae2ccbb78d90850b2021-11-23T14:50:56ZCredit Cycles: Econometric Analysis and Evidence for Russia2071-81602541-909910.24833/2071-8160-2014-2-35-113-122https://doaj.org/article/09e3ce239f874658ae2ccbb78d90850b2014-04-01T00:00:00Zhttps://www.vestnik.mgimo.ru/jour/article/view/69https://doaj.org/toc/2071-8160https://doaj.org/toc/2541-9099One of the principal problem in contemporary macroeconomics is concerned with factors increasing or decreasing economic dynamics. The mainstream approach is based on neoclassical assumptions, but recently new approaches appear mostly based on new Keynesian concepts. In present time the influence of monetary market and credit instruments become more and more significant. Credit resources of banking and financial structures can affect and distort to reallocation of resources for national and even for global economic. In present paper an empiric and econometric analysis for some macroeconometric and monetary indices for Russian Federation is done. An econometrical models describing the influence of credit variables onto real GDP is estimated. It is shown that in short-term periods changes in credit variables do influence significantly onto GDP. It is shown that on short-term periods changes in money aggregate M2 brings influence (through credit variables) onto national output. As well it is shown that changes in short-term interest rate brings significant negative influence onto real output. Impulse response functions for GDP on shocks of credit variables, monetary base and short-term interest rate are evaluated. For the present study of credit cycles and their impact to real business cycles statistical data (quarterly time series) on the following factors for Russian Federation are collected: nominal and real GDP, monetary base M2, short-term interest rate, long-term interest rate (10-year treasuries bill rate), total debt outstanding. All time series are seasonally adjusted and collected for the period 2004 Q1 - 2013 Q2. All interest rates are adjusted for inflation (i.e. we deal with real interest rates). The investigation of long-term relationship for the factors under consideration are based on integration. It is important to note that in the present paper all econometric models are estimated on "pure" statistical data, while in many research papers on business and credit cycles all evaluations and inferences are based on "filtered" time series (mostly filtered by Hodrick-Prescott's method). In present paper "causality" always means "Granger causality". All estimations are made in gretl, an open-source multiplatform econometric software.N. V. ArtamonovD. V. ArtamonovV. A. ArtamonovMGIMO University Pressarticleкредитные циклыциклы деловой активностиряды с единичным корнемкоинтеграциямодель векторной авторегрессиимодель векторной коррекции ошибокфункция импульсного откликаInternational relationsJZ2-6530ENRUVestnik MGIMO-Universiteta, Vol 0, Iss 2(35), Pp 113-122 (2014)
institution	DOAJ
collection	DOAJ
language	EN RU
topic	кредитные циклы циклы деловой активности ряды с единичным корнем коинтеграция модель векторной авторегрессии модель векторной коррекции ошибок функция импульсного отклика International relations JZ2-6530
spellingShingle	кредитные циклы циклы деловой активности ряды с единичным корнем коинтеграция модель векторной авторегрессии модель векторной коррекции ошибок функция импульсного отклика International relations JZ2-6530 N. V. Artamonov D. V. Artamonov V. A. Artamonov Credit Cycles: Econometric Analysis and Evidence for Russia
description	One of the principal problem in contemporary macroeconomics is concerned with factors increasing or decreasing economic dynamics. The mainstream approach is based on neoclassical assumptions, but recently new approaches appear mostly based on new Keynesian concepts. In present time the influence of monetary market and credit instruments become more and more significant. Credit resources of banking and financial structures can affect and distort to reallocation of resources for national and even for global economic. In present paper an empiric and econometric analysis for some macroeconometric and monetary indices for Russian Federation is done. An econometrical models describing the influence of credit variables onto real GDP is estimated. It is shown that in short-term periods changes in credit variables do influence significantly onto GDP. It is shown that on short-term periods changes in money aggregate M2 brings influence (through credit variables) onto national output. As well it is shown that changes in short-term interest rate brings significant negative influence onto real output. Impulse response functions for GDP on shocks of credit variables, monetary base and short-term interest rate are evaluated. For the present study of credit cycles and their impact to real business cycles statistical data (quarterly time series) on the following factors for Russian Federation are collected: nominal and real GDP, monetary base M2, short-term interest rate, long-term interest rate (10-year treasuries bill rate), total debt outstanding. All time series are seasonally adjusted and collected for the period 2004 Q1 - 2013 Q2. All interest rates are adjusted for inflation (i.e. we deal with real interest rates). The investigation of long-term relationship for the factors under consideration are based on integration. It is important to note that in the present paper all econometric models are estimated on "pure" statistical data, while in many research papers on business and credit cycles all evaluations and inferences are based on "filtered" time series (mostly filtered by Hodrick-Prescott's method). In present paper "causality" always means "Granger causality". All estimations are made in gretl, an open-source multiplatform econometric software.
format	article
author	N. V. Artamonov D. V. Artamonov V. A. Artamonov
author_facet	N. V. Artamonov D. V. Artamonov V. A. Artamonov
author_sort	N. V. Artamonov
title	Credit Cycles: Econometric Analysis and Evidence for Russia
title_short	Credit Cycles: Econometric Analysis and Evidence for Russia
title_full	Credit Cycles: Econometric Analysis and Evidence for Russia
title_fullStr	Credit Cycles: Econometric Analysis and Evidence for Russia
title_full_unstemmed	Credit Cycles: Econometric Analysis and Evidence for Russia
title_sort	credit cycles: econometric analysis and evidence for russia
publisher	MGIMO University Press
publishDate	2014
url	https://doaj.org/article/09e3ce239f874658ae2ccbb78d90850b
work_keys_str_mv	AT nvartamonov creditcycleseconometricanalysisandevidenceforrussia AT dvartamonov creditcycleseconometricanalysisandevidenceforrussia AT vaartamonov creditcycleseconometricanalysisandevidenceforrussia
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Credit Cycles: Econometric Analysis and Evidence for Russia

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