Monitoring Russian business cycle with daily indicators

Abstract

Modern economic life is characterized by an exponential increase of available information and a shortening time for decision-making. Hence, the necessity for more timely composite macroeconomic indicators is increasing (objectively), but the supply of such instruments lags behind the demand. This paper develops the daily Economic Stress Index (ESI) for the Russian Federation. It differs from all previously proposed Russian high-frequency indices as it has daily indicators for real, banking, and consumer sectors among its 17 components (along with commonly used indicators for financial and commodity markets). In retrospect, the ESI successfully generated “alarm signals” during the recessions of 1998, 2008—2009 and 2015—2016. As it was publicly introduced in March 2020, we were able to trace the COVID-19 recession in Russia in real-time. Given this experience, we believe that the proposed daily ESI may continue to be used to monitor the Russian business cycle without any lags.