Approaches for Predicting Growth at Risk and Benefits of Vintage Data: A New Issue of the Russian Journal of Money and Finance

This is the first issue of the Russian Journal of Money and Finance published by the Bank of Russia in 2022.

It has never been as relevant as it is today to understand how vulnerable economic growth may be. Since the global financial crisis of 2008–2009, the Growth-at-Risk concept has been developed. It allows the estimation of the size of the potential downfall of future GDP growth. Aleksei Kipriyanov (HSE University, International College of Economics and Finance) compares the performance of different approaches for predicting growth at risk and the quality of forecasts generated by different types of models amid a new, unexpected shock, such as the crisis of 2020 caused by the COVID-19 pandemic. US statistical data are used for this analysis. The author concludes that no model could correctly estimate the size of the downfall at the very beginning of the pandemic, although some models were able to quickly adapt to incoming information and correctly predict further GDP dynamics.

Central banks (as well as other policymakers) often have to operate with incomplete information: many statistical data are published with delays and then revised. To understand which econometric models are best when making decisions under such conditions, these models need to be estimated using preliminary statistical data, as noted by Dmitry Gornostaev from the Bank of Russia and his colleagues in their paper. The authors present to researchers community the database they compiled and published on the Bank of Russia website; this database includes information on the revisions of 400 macroeconomic indicators for the period since January 2001. Additionally, Urmat Dzhunkeev (Lomonosov Moscow State University) uses this database in his work, in which he demonstrates how the use of machine learning methods can improve the quality of unemployment forecasting in Russia.

When countries form a monetary union, their central banks lose the ability to pursue individual monetary policy. At the same time, differences in the economies of the member countries of such a union raise the question of the efficiency of a single monetary policy. Sofya Kolesnik and Elizaveta Dobronravova (Lomonosov Moscow State University, RANEPA), studying the effects of unconventional monetary policy measures (for example, quantitative easing) in the euro area in 2007–2018, conclude that these policies had uneven impacts on different countries. For example, in countries with low banking-sector capitalisation, unconventional monetary policy measures did not contribute to the real economy, as banks did not expand the supply of loans, but accumulated capital.

These and the other papers of the first issue of the Russian Journal of Money and Finance for 2022 can be found on the Journal’s website.