Experience in Developing Early Warning System for Financial Crises and the Forecast of Russian Banking Sector Dynamic in 2012

Oleg Solntsev, Mikhail Mamonov (), Anna Pestova and Z. Magomedova
Additional contact information
Z. Magomedova: Center for Macroeconomic Analysis and Short-Term Forecasting (CMASF), Moscow, Russia

Journal of the New Economic Association, 2011, issue 12, 41-76

Abstract: The article summarizes the key results of researches in the field of early warning systems for financial crises, conducted by the Center for Macroeconomic Analysis and Short-Term Forecasting (CMASF) since 2005. The proposed early warning system consists of three major blocks: the leading indicators of certain types of risks and the composite leading indicator of a systemic banking crisis; the medium-term scenario forecasting of key macroeconomic and financial indicators; stress testing of credit and liquidity risks of banks. On the basis of this early warning system we estimate the risks of financial crisis and some kinds of systemic risks in the different scenarios for the Russian economy in 2012. The analysis, in particular, revealed a sensitivity threshold of the domestic financial sector to changes in the world oil prices. Furthermore, it was found that the greatest destabilizing effect on the Russian financial sector may be caused by systemic credit risk.

Keywords: systemic financial crises; credit risks; liquidity risks; currency risks; early warning system; leading indicators; stress testing (search for similar items in EconPapers)
JEL-codes: C23 C24 C25 C26 C51 C58 E44 G01 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.econorus.org/repec/journl/2011-12-41-76r.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nea:journl:y:2011:i:12:p:41-76

Access Statistics for this article

Journal of the New Economic Association is currently edited by Victor Polterovich and Aleksandr Rubinshtein

More articles in Journal of the New Economic Association from New Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Alexey Tcharykov ().