voprstatВопросы статистикиVoprosy Statistiki2313-63832658-549910.34023/2313-6383-2021-28-4-80-95voprstat-1325Research ArticleМАТЕМАТИКО-СТАТИСТИЧЕСКИЕ МЕТОДЫ В АНАЛИЗЕ И ПРОГНОЗИРОВАНИИMATHEMATICAL AND STATISTICAL METHODS IN ANALYSIS AND FORECASTINGПрогнозирование роста ВВП с учетом кризисных шоков на основе результатов обследований деловой активностиForecasting GDP Growth Considering Crisis Shocks Based on Business Survey Resultshttps://orcid.org/0000-0002-6383-9562КитрарЛ. А.KitrarL. A.

 Китрар Людмила Анатольевна – канд. экон. наук, заместитель директора, Центр конъюнктурных исследованийИнститута статистических исследований и экономики знаний,

 101000, г. Москва, Славянская пл., д. 4, стр. 2 

 Liudmila A. Kitrar – Cand. Sci. (Econ.), Deputy Director, Centre for Business Tendency Studies, Institute for Statistical Studies and Economics of Knowledge

4, Slavyanskaya Sq., Bld. 2, Moscow, 101000

lkitrar@hse.ruhttps://orcid.org/0000-0003-2632-9026ЛипкиндТ. М.LipkindT. M.

 Липкинд Тамара Михайловна – ведущий эксперт, Центр конъюнктурных исследований Института статистических исследований и экономики знаний

101000, г. Москва, Славянская пл., д. 4, стр. 2 

 Tamara M. Lipkind – Leading Expert, Centre for Business Tendency Studies, Institute for Statistical Studies and Economics of Knowledge

4, Slavyanskaya Sq., Bld. 2, Moscow, 101000

tlipkind@hse.ruhttps://orcid.org/0000-0001-5190-7057УсовН. А.UsovN. A.

 Усов Никита Александрович – ведущий аналитик, Центр конъюнктурных исследований Института статистических исследований и экономики знаний

 101000, г. Москва, Славянская пл., д. 4, стр. 2 

 Nikita A. Usov – Leading Analyst, Centre for Business Tendency Studies, Institute for Statistical Studies and Economics of Knowledge

4, Slavyanskaya Sq., Bld. 2, Moscow, 101000

nusov@hse.ruНациональный исследовательский университет «Высшая школа экономики»РоссияNational Research University Higher School of Economics (HSE University)Russian Federation2021070920212848095Copyright © Китрар Л.А., Липкинд Т.М., Усов Н.А., 20212021Китрар Л.А., Липкинд Т.М., Усов Н.А.Kitrar L.A., Lipkind T.M., Usov N.A.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://voprstat.elpub.ru/jour/article/view/1325

В статье на основе результатов регулярных широкомасштабных обследований деловой активности организаций, проведенных Федеральной службой государственной статистики в период с 1998 по 2021 г., анализируются краткосрочные эффекты влияния совокупных экономических настроений на ожидаемый рост ВВП в России. Главной целью исследования является обоснование прогностической ценности мнений хозяйствующих субъектов в условиях необходимости расширения макроэкономической информации, особенно в периоды кризисных событий.

Авторы объединяют ежеквартальную информацию за весь анализируемый период по 18 анкетным показателям обследований выборочной совокупности, включающей около 24 тыс. организаций базовых видов экономической деятельности и 5 тыс.

потребителей во всех регионах страны, в единый композитный индекс экономических настроений (ИЭН). Затем проводится статистический анализ рассматриваемых временных рядов, в том числе определение порядка интегрируемости, а также проверка на стационарность и тестирование на наличие причинно-следственных связей между индикаторами. На основе полученных результатов для измерения исследуемых взаимосвязей аргументируется возможность использования такой спецификации модели, как векторная авторегрессия (VAR) с дамми-переменными.

Результаты прогнозирования отражают взаимосвязь двух временных рядов и учитывают отклик на фактическую реакцию деловой среды в динамике оцениваемой переменной (ИФО ВВП) и заданную авторами симуляцию колебаний в динамике ИЭН, которые соответствуют ожидаемым экономическим настроениям в условиях возможной смены кризисных отраслевых событий. Исходя из сценарных импульсов в динамике совокупных экономических настроений в III квартале 2021 г., отличающихся амплитудой и продолжительностью их влияния на экономический рост, прежде всего из-за коронавирусных шоков, сформированы вероятностные оценки роста ВВП до середины 2022 г. Согласно полученным результатам, при всех предложенных авторами сценариях развития бизнес-тенденций рост национальной экономики может превысить предпандемический уровень IV квартала 2019 г. (102,9%) к середине 2022 г.

The article analyzes the short-term effects of aggregate economic sentiment on the expected GDP growth in Russia based on the results of regular large-scale surveys of business activity of the Federal State Statistics Service (Rosstat) for the period 1998–2021. The main purpose of the study is to substantiate the predictive value of the opinions of economic agents in expanding macroeconomic information, especially during crisis periods. The authors aggregate quarterly information for the analyzed period on 18 indicators of surveys with a sample of about 24,000 organizations in basic kinds of economic activity and 5,000 consumers in all Russian regions in a composite economic sentiment indicator (ESI). Then, a statistical analysis of the time series of ESI and GDP growth is carried out, including the identifcation of the integrability order with testing for stationarity and the presence of causality between indicators. The authors prove the possibility of using a vector autoregression (VAR) model with dummy variables to measure the investigated relationship.

The forecasting results reflect the interconnection of two time series with the response in the dynamics of the estimated variable (GDP growth) to the reaction of the business environment and the simulation of fluctuations in the ESI dynamics, which are set by the authors and correspond to the expected economic sentiments amid possible crisis changes. Probabilistic estimates of GDP growth until mid-2022 are based on scenario impulses in the ESI dynamics at the 3rd quarter of 2021, which differ in the amplitude and duration of their impact on economic growth, primarily due to coronavirus shocks. According to the results, under all scenarios for the development of business trends introduced by the authors, national economic growth can exceed by the middle of 2022 the pre-pandemic level of the 4th quarter of 2019 (102,9%).

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The authors declare that there are no conflicts of interest present.