Journal of Siberian Federal University. Humanities & Social Sciences / The Relationship Between Financial and Business Cycles in the Russian Economy

Full text (.pdf)
Issue
Journal of Siberian Federal University. Humanities & Social Sciences. 2025 18 (12)
Authors
Serkov, Leonid A.
Contact information
Serkov, Leonid A. : Institute of Economics UB RAS Ekaterinburg, Russian Federation; ; ORCID: 0000-0002-3832-3978
Keywords
financial and economic cycle; wavelet analysis; residential property prices; loan debt; wavelet coherence; cause-and-effect relationships
Abstract

This study empirically analyzes the relationship between financial and business cycles in the Russian economy for the period from 2002 to 2024 using multivariate wavelet analysis (MWA), which allows studying dynamics in the time and frequency domains. Residential real estate prices and the volume of corporate loan debt are used as financial cycle indicators, while gross domestic product (GDP) is used as a business cycle indicator. A stable long-term (cycle period of 8–16 years) interdependence is revealed: real estate prices outpace GDP, acting as its driver; loan debt and GDP are linked by a two- way feedback loop: economic growth stimulates lending, which supports economic activity. In the medium term (4–8 years) up to 2011–2015, a one-way causality from GDP to financial indicators was observed (the commodity growth model), but after 2015–2016. Sanctions and the change in monetary policy disrupted the synchronization. The results highlight the importance of considering time-frequency specificity when formulating macroprudential policy

Pages
2540–2554
EDN
XBPKRQ
Paper at repository of SibFU
https://elib.sfu-kras.ru/handle/2311/158011

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