Year of Graduation
Credit and Business Cycle in Russia: Identification and Analysis of the Relationship
With the development of the financial market and credit instruments, the influence of banks on the movement of resources in the real sector is increasing, therefore, there is a close relationship between the credit and the business cycle. This paper is devoted to the identification and analysis of the relationship between the cycle in the credit market and the business cycle in Russia. The analysis applies data for 1995-2017, provided by the Bank of Russia and the Federal State Statistics Service. The dating is based on a modified Harding-Pagan algorithm. Such macroeconomic indicators as GDP, investment, unemployment and real incomes are considered as indicators of the business cycle. According to the results obtained, the Russian economy has gone through two complete cycles and, it is in a phase of recovery since the second quarter of 2015. The paper also presents the credit cycle dating based on the credit gap and the credit-to-GDP ratio. In order to determine the relationship between the indicators of the credit cycle and the level of business activity in Russia, the binary econometric model estimated with the maximum likelihood method is used. According to the results of the analysis, it was revealed that the best indicator of early warning of the onset of the economic cycle downturn was the credit gap. Decrease in the index of entrepreneurial confidence also signals the forthcoming of the business cycle peak in advance.