Analysis of Fluctuations of Aggregate Indicators and Persistence of Business Cycles in the Caspian Countries

The global macroeconomic context is increasingly prone to the emergence and prevalence of situations of uncertainty and risk. Starting from the theoretical particularities of economic cycles, this paper aims to analyse the dynamics of aggregate indicators in the Caspian countries. We have proposed to investigate the extent to which the existence of business cycles produces a series of disturbances at the level of each analysed state, as well as how their persistence contributes to a series of implications that may affect their performance at the macroeconomic level. The novelty of the study consists in the particular analysis of the countries of the Caspian region, as they present certain advantages in terms of competitiveness, mainly due to international transactions with petroleum products. From a methodological point of view, we used the Hodrick-Prescott filtering method in extracting and isolating the cyclical component of each macroeconomic variable (production, private and public consumption, investment, exports, imports, and the real price of oil) in the period 1990–2019. We showed the dynamic evolution of the analysed indicators, the degree of persistence of fluctuations, as well as the measurement of the volatility of each variable for each state, by calculating standard deviations and correlations in relation to production. At the same time, we showed the impact of the real price of oil on the dynamics of business cycles. The results showed increased volatility of production in Azerbaijan, and that production and real oil price are strongly positively correlated in Azerbaijan, Kazakhstan, and Russia, being over 35%.