msueconВестник Московского университета. Серия 6. ЭкономикаLomonosov Economics Journal0130-0105MSUPRESS10.38050/01300105202223msuecon-721Research ArticleЭКОНОМИЧЕСКАЯ ТЕОРИЯECONOMIC THEORYПрогнозирование потребления на основе индекса потребительской уверенности в РоссииForecasting consumption using the consumer confidence index in RussiaСугаиповД. Р.SugaipovD. R.

Сугаипов Дени Ризванович — младший научный сотрудник, Лаборатория математического моделирования экономических процессов, Институт прикладных экономических исследований

Москва

Junior Researcher, Laboratory of Mathematical Modeling of Economic Processes, Department of Applied Economic Research

Moscow

 

sugaipov-dr@ranepa.ruРоссийская академия народного хозяйства и государственной службы при Президенте РФРоссияRANEPARussian Federation202209032022024570Copyright © Сугаипов Д.Р., 20222022Сугаипов Д.Р.Sugaipov D.R.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://msuecon.elpub.ru/jour/article/view/721

Статья посвящена краткосрочному прогнозированию расходов на конечное потребление домашних хозяйств с помощью индекса потребительской уверенности в России. Поскольку Федеральная служба государственной статистики публикует данные по экономическим показателям с большими лагами, представляется возможным использовать опережающие показатели для прогнозирования макроэкономических переменных ещё до их официальной публикации. В настоящей работе для наукастинга потребления используются квартальные сезонно-дифференцированные временные ряды за период со 2 квартала 2000 года по 2 квартал 2021 года. Для определения предсказательной силы индекса строится несколько моделей, в которые по очереди включаются индекс потребительской уверенности, лаги индекса, а также лаги потребления. Сравнение качества различных спецификаций происходит с помощью среднеквадратической ошибки прогноза. Полученные результаты свидетельствуют о том, что индекс потребительской уверенности увеличивает точность как вневыборочных, так и внутривыборочных прогнозов. Проведённые статистические тесты подтверждают, что включение в модель опережающего индикатора улучшает качество прогнозов.

The paper considers short-term forecasting of household final consumption expenditures using the consumer confidence index in Russia. The article presents a comparative analysis of consumption forecasting approaches using a leading indicator in various countries. The author makes consumption nowcasts based on quarterly data for the period from 2000 to 2021. Unlike most studies based on seasonally adjusted time series, the current study uses seasonally differentiated time series. To determine the predictive power of the index, the author builds several models which include in turn the consumer confidence index, index lags, and consumption lags. The quality comparison of different specifications with the root mean squared forecast error demonstrates that the inclusion of the consumer confidence index in the model increases the accuracy of both out-of-sample and in-sample forecasts. The conducted statistical tests confirm that the inclusion of a leading indicator in the model improves the quality of forecasts.

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