Dynamics of macroeconomic indicators in Russia: Wavelet analysis of unemployment, inflation and interest rates

This article proposes a wavelet analysis of the dynamics of three key macroeconomic indicators in the Russian economy: unemployment, inflation and interest rates for the period from 1990 to 2021. The analysis of the dynamics of key macroeconomic indicators in the Russian economy was carried out using wavelet analysis in combination with tests for stationarity of time series, such as the extended Dickey–Fuller test, Phillips–Perron test, Granger test and Quach–Perron test. The analysis shows that in Russia there are no parameters relevant of Phillips curve during the period under review, and the inverse relationship between the inflation rate and the unemployment rate is not confirmed. However, there is a relationship between the interest rate and inflation, as well as between the interest rate and the unemployment rate, although the nature of these relationships varies over different time periods. The study revealed changes in the temporal dynamics of these indicators at different time frequencies (low and high). In particular, a statistically significant relationship between unemployment and inflation was found at low frequencies, where unemployment peaks began to precede inflation peaks from 2009 and onwards. At high frequencies, there is a time shift between the interest rate and inflation after 1998, as well as a negative shift between the interest rate and unemployment during certain time periods. These results help to better understand long-term trends and relationships in the Russian economy, and also have practical implications for the formation of economic policy.