IDEAS home Printed from https://ideas.repec.org/a/nos/voprec/y2022id3929.html
   My bibliography  Save this article

Macroeconomic uncertainty indicators for Russia

Author

Listed:
  • I. V. Prilepskiy

Abstract

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.

Suggested Citation

  • I. V. Prilepskiy, 2022. "Macroeconomic uncertainty indicators for Russia," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 9.
    • Handle: RePEc:nos:voprec:y:2022:id:3929
    DOI: 10.32609/0042-8736-2022-9-34-52
    as

    Download full text from publisher

    File URL: https://www.vopreco.ru/jour/article/viewFile/3929/2500
    Download Restriction: no
    File URL: https://libkey.io/10.32609/0042-8736-2022-9-34-52?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nos:voprec:y:2022:id:3929. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: NEICON (email available below). General contact details of provider: https://www.vopreco.ru .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.