Analysis of new approaches to the formation of predictors of financial and economic crises based on indicators of financial markets

Анализ новых подходов к формированию предикторов финансово-экономических кризисов на основе показателей финансовых рынков

Yuri Danilov, Pivovarov, Danil (Пивоваров, Данил) () and Davydov, Igor (Давыдов, Игорь) ()
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Pivovarov, Danil (Пивоваров, Данил): The Russian Presidential Academy of National Economy and Public Administration
Davydov, Igor (Давыдов, Игорь): The Russian Presidential Academy of National Economy and Public Administration

Working Papers from Russian Presidential Academy of National Economy and Public Administration

Abstract: The paper presents the results of the analysis of indicators whose behavior as crisis predictors is actively discussed at the present time. The paper analyzes reasons for the failure of the crisis predictors of the previous generation, which showed their failure in 2007 - 2008. Indices of financial conditions, yield spreads of US treasury bonds, Schiller's ratio, financial cycle indicators, VIX (“fear index”), risk premiums and some other indicators from the “new crisis predictor” family are examined in detail. It was shown that all these indicators are aimed at finding an answer to the question about the time of the beginning of the next crisis, while other parameters of a possible crisis (where, in which country and in which sector of the economy should the crisis begin to be expected; what exactly can happen, which of vulnerabilities have the highest chance of being realized) attract much less attention. Moreover, economic risks are not among the most dangerous risks from the point of view of international financial organizations. We conducted an analysis of the behavior of the proposed crisis predictors on retrospective data, as a result of which we formed their sequence in terms of signaling before the crisis, as well as the influence of external predictors on indicators of Russian economic dynamics and the state of the financial market. It was concluded that along with external shocks, internal factors are of great importance for the start of Russian recessions, on the basis of which the Russian financial conditions index was proposed, which showed good predictor properties. Hypotheses were also formulated about the reasons for the later entry of the Russian economy into the crisis of 2007-2009. and higher volatility of economic dynamics in Russia.

Pages: 61 pages
Date: 2020-04
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