Russian Journal of Money and Finance: Forecasts based on central bank publications and monetary policy effect on debt burden
The fourth issue of the scholarly Russian Journal of Money and Finance of 2025 has been published. The authors of this issue explore changes in the debt burden in various industries of the Russian economy, propose new methods for measuring a deviation of GDP growth from potential, and make macroeconomic forecasts based on central bank publications.
The debt burden channel is an important transmission channel through which monetary policy affects the economy. However, the impact of a key rate change on the debt burden varies across industries. The analysis by Anna Pustovalova and her colleagues (Bank of Russia and Lomonosov Moscow State University) using Russian data reveals that the immediate effect of a key rate increase is the strongest in mining and quarrying, while in the medium term, the debt burden level does not change in most industries in response to a monetary policy shock.
A deviation of GDP growth from potential, or an output gap, is one of the indicators used to assess the economic situation, although this deviation cannot be measured directly. Ilya Zverev and Nadezhda Kislyak (Bank of Russia) suggest their approach to estimating this indicator based on 14 macroeconomic and financial variables. The results obtained using this approach for the period from 2005 to 2022 allow for a deeper understanding of business cycle dynamics through the analysis of the contributions of individual factors. Thus, the authors find that external demand played a key role in 2008–2009 and 2020, whereas in 2022, on the contrary, the decisive factor was internal demand.
Multiple studies show that textual information, such as news, posts from social networks, etc., may be used to improve forecasts of macroeconomic indicators, e.g. inflation. According to the forecasting approach proposed by Urmat Dzhunkeev (MDigital), traditional ensemble and neural network models integrate sentiment indices for central bank publications (news, monetary policy decisions, etc.). The author concludes that traditional methods ensure more accurate nowcasting of Russia’s GDP, while the method for synthesising models and sentiment indices for central bank publications enhances the quality of inflation forecasts.
The new issue of the Russian Journal of Money and Finance (No. 4, 2025) is available on the website.