Comprehensive Crisis Indicator for Russia

E. Fedorova and D. Afanasev
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E. Fedorova: National Research University Higher School of Economics, Moscow, Russia
D. Afanasev: Financial University under the Government of the Russian Federation, Moscow, Russia

Journal of the New Economic Association, 2014, vol. 23, issue 3, 38-59

Abstract: In this paper the study was conducted on the identification of fundamental financial and economic indicators significant for predicting crises and on the development of a comprehensive crisis prognostic indicator for the Russian economy, using econometric modeling of the exchange market pressure index (EMPI). Authors propose a methodological approach for building a comprehensive leading crisis indicator on the basis of the dynamic regression model with Markov regime-switching dynamic regression model with time-varying transition probabilities (MS-DR-TVTP) and statistical likelihood ratio test (LR-test). It has been demonstrated that significant for Russia are the trading channel (in the form of the imports growth rate), the financial channel (through financial integration of stock markets) and the banking channel (in the form of real deposit rate). This shows the multifaceted nature of contemporary crises in the Russian economy.

Keywords: economic crises; leading crisis indicators; exchange market pressure index EMPI; Markov regime-switching model (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:nea:journl:y:2014:i:23:p:38-59

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