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Economic Analysis: Theory and Practice
 

Identity crisis periods in CIS countries based index of pressure on foreign exchange market (EMPI) and model with Markov switching MS-DR

Vol. 13, Iss. 2, JANUARY 2014

Available online: 23 January 2014

Subject Heading: Innovations and investments

JEL Classification: 

Fedorova E.A. Doctor of Economic Sciences, Professor of the Department of the Financial management, Financial University under the Government of the Russian Federation
ecolena@mail.ru

Afanasev D.O. Head of the Department, SAP NetWeaver of management of Information Technologies, JSC "M.Video Management"
dmafanasyev@gmail.com

The article shows the research on identification of the crisis periods on the example of CIS countries on the basis of an index of pressure upon the currency market. The authors offer to use dynamic regression model with Markov switching MS-DR, allowing defining critical borders of an index of currency pressure. The results received in the work can be used for crisis forecasting for CIS countries, including for Russia.

Keywords: crisis, period, index of pressure upon the currency market of EMPI, dynamic regression model, model MS-DR, CIS

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ISSN 2311-8725 (Online)
ISSN 2073-039X (Print)

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