Pudova D.O.Financial Research Institute under Ministry of Finance of Russian Federation, Moscow, Russia dpudova@nifi.ru
Importance The article overviews economic cycles, which help to detect, identify and evaluate the projected economic situation, decide on the budgetary policy, being interesting for professional market actors. The article also focuses on risks of sovereign debt management in line with economic cycles. Objectives The research traces risks associated with a choice of borrowing policies in Russia in terms of economic cycles and their study. The research analyzes the practice of monitoring cyclicality factors in the Mexican economy. I also evaluate whether it is possible to use practices and experience of the National Institute of Statistics and Geography (Mexico) to monitor economic cycles in Russia. The research analyzes the risk monitoring process when borrowing policies are articulated in line with economic cycles of the Russian Federation. Methods To detect the cyclicality, I check the selected indicator against highs and lows of the global indicator of real economic activity. The trend and fluctuations are assessed with the Hodrick –Prescott filter and STATA software. Results The comprehensive system for evaluation and monitoring of economic cycles in Mexico allows to effectively trace changes in borrowing policies of the State, thus confirming my assertions. When analyzing indicators for monitoring of various sovereign debt management risks, I found indicators having strong and weak cyclical component. Conclusions and Relevance After sovereign debt management is analyzed, I selected some indicators with definable cyclicality. Such monitoring seems practicable so to take decisions on public budgetary policies. The analysis and conclusions are relevant to trace cycles in order to formulate and implement successful debt management policies at the corporate and governmental levels
Keywords: finance, bond, economic cycle, risk management, sovereign debt
References:
Ziemann V. Debt and Macroeconomic Stability: Debt and the Business Cycle. OECD Economics Department Working Papers, 2012, no. 1005. doi:Link
Holler J. Funding Strategies of Sovereign Debt Management: A Risk Focus. Monetary Policy & the Economy, 2013, iss. 2. Available at: Link.
Var'yash I.Yu. [Cyclical conditions of the monetary policy]. Nauchno-issledovatel'skii finansovyi institut. Finansovyi zhurnal = Financial Research Institute. Finance Journal, 2015, no. 4. (In Russ.)
Becker T. Sovereign Bonds and Public Debt Management. IMF Research Bulletin, 2003, vol. 4, no. 3. Available at: Link.
Osokina N. [The 1994 Mexican economic crisis]. Obozrevatel'= Observer, 1998, no. 10. Available at: Link. (In Russ.)
Edwards S. Crisis and Reform in Latin America: From Despair to Hope. World Bank, 1995.
Becketti S. Introduction to Time Series Using Stata. Stata Press, 2013.
Hodrick R.J., Prescott E.C. Postwar U.S. Business Cycles: An Empirical Investigation. Journal of Money, Credit and Banking, 1997, vol. 29, iss. 1, pp. 1–16.
Ravn M.O., Uhlig H. On Adjusting the Hodrick–Prescott Filter for the Frequency of Observations. TheReview of Economics and Statistics, 2002, vol. 84, iss. 2, pp. 371–376.
Kilian L. Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market. American Economic Review, 2009, vol. 99, no. 3, pp. 1053–1069. Available at: Link.
Ravazzolo F., Vespignani J.L. A New Monthly Indicator of Global Real Economic Activity. CAMA Working Paper, 2015, no. 13. Available at: Link; Available at: Link.
Pearson N.D. Risk Budgeting: Portfolio Problem Solving with Value-at-Risk. John Wiley & Sons, 2002.
Rockafellar R.T., Uryasev S. Optimization of Conditional Value-at-Risk. Journal of Risk, 2000, vol. 2, no. 3, pp. 21–42. Available at: Link.
Papaioannou M. Exchange Rate Risk Measurement and Management: Issues and Approaches for Public Debt Managers. South-Eastern Europe Journal of Economics, 2015, no. 1, pp. 7–34. Available at: Link.
Ejsing J., Sihvonen J. Liquidity Premia in German Government Bonds. ECB Working Paper, 2009, no. 1081. Available at: Link.
Piga G. Derivatives and Public Debt Management. Zurich, International Securities Market Association, 2001.
Ryzhanovskaya L.Yu., Chistova V.E. [Liquidity issues of the public securities market]. Nauchno-issledovatel'skii finansovyi institut. Finansovyi zhurnal = Financial Research Institute. Financial Journal, 2011, no. 3, pp. 19–32. (In Russ.)
