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Comprehensive Crisis Indicator for Russia

Author

Listed:
  • Fedorova, E.

    (National Research University Higher School of Economics, Moscow, Russia
    Financial University under the Government of the Russian Federation, Moscow, Russia)

  • Afanasev, D.

    (Financial University under the Government of the Russian Federation, Moscow, Russia)

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.

Suggested Citation

  • Fedorova, E. & Afanasev, D., 2014. "Comprehensive Crisis Indicator for Russia," Journal of the New Economic Association, New Economic Association, vol. 23(3), pages 38-59.
    • Handle: RePEc:nea:journl:y:2014:i:23:p:38-59
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    economic crises; leading crisis indicators; exchange market pressure index EMPI; Markov regime-switching model;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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