Nadezhda I. YASHINANational Research Lobachevsky State University of Nizhny Novgorod (UNN), Nizhny Novgorod, Russian Federation sitnicof@mail.ru ORCID id: not available
Subject. This article discusses new possibilities for diagnosing the state of the country's financial and economic system and monitoring the true signs of crisis phenomena. Objectives. The article aims to develop effective methods of diagnosing and predicting financial crises in Russia using a special system of economic indicators and digital analytical tools. Methods. For the study, we used the signaling approach, non-parametric and mathematical statistics, and econometric modeling. Results. The article proposes a developed methodology for diagnosing crisis events, and tested on the basis of a sample of official data of the Federal State Statistics Service, the Ministry of Finance of the Russian Federation, the Central Bank of the Russian Federation, and the exchange information of the world financial markets for 1998–2019. Conclusions. The study confirmed the prospects for using a signaling approach in combination with the binary choice model and econometric modeling methods to predict the onset of crisis events in the Russian economy. The proposed methodology for diagnosing financial market crises contributes to the development of scientific approaches to the analysis and forecasting of the price dynamics of financial markets and periods of their increased volatility. Its practical implementation provides information on emerging trends in financial and economic instability and assesses the likelihood of a financial crisis.
Nicola M., Alsafi Z., Sohrabi C. et al. The Socio-Economic Implications of the Coronavirus and COVID-19 Pandemic: A Review. International Journal of Surgery, 2020, vol. 78, pp. 185–193. URL: Link
Levshukova O.A., Matveev A.S., Pozoyan D.P. [Possible consequences of the COVID-19 pandemic on the development of the Russian economy]. Estestvenno-gumanitarnye issledovaniya =Natural and Humanitarian Research, 2020, no. 29, pp. 191–194. URL: Link (In Russ.)
Benetrix A., Lane P., Shambaugh J. International Currency Exposures, Valuation Effects and the Global Financial Crisis. Journal of International Economics, 2015, vol. 96, pp. 98–109. URL: Link
Rangvid J., Santa-Clara P., Schmeling M. Capital Market Integration and Consumption Risk Sharing Over the Long Run. Journal of International Economics, 2016, vol. 103, pp. 27–43. URL: Link
Kaminsky G. Currency Crises. In: Banking Crises. London, Palgrave Macmillan, 2016, pp. 75–78. URL: Link
Andreev M.Yu. [Leading indicators of the Russian financial market crisis and their relation with business cycles]. Finansy i kredit =Finance and credit, 2016, vol. 22, iss. 25, pp. 2–18. URL: Link (In Russ.)
Ekimova N.A. [Indicators of Early Crisis: In Search of New Approaches]. Vestnik Ural'skogo federal'nogo universiteta. Ser.: Ekonomika i upravlenie =Bulletin of Ural Federal University. Series: Economics and Management, 2017, vol. 16, no. 6, pp. 985–1002. (In Russ.) URL: Link
Jacobs M., Sensenbrenner F. A Comparison of Methodologies in the Stress Testing of Credit Risk – Alternative Scenario and Dependency Constructs. Quantitative Finance and Economics, 2018, vol. 2, pp. 294–324. URL: Link
Kanas A., Molyneux P. Macro Stress Testing the U.S. Banking System. Journal of International Financial Markets, Institutions and Money, 2018, vol. 54, pp. 204–227. URL: Link
Manzoor A. Early Warning System of Financial Crises. In: Risk and Contingency Management: Breakthroughs in Research and Practice. 2018. URL: Link
Vermeulen R., Hoeberichts M., Vasicek B. et al. Financial Stress Indices and Financial Crises. Open Economies Review, 2015, vol. 26, pp. 383–406. URL: Link
Ishrakieh L., Dagher L., Hariri S. A Financial Stress Index for a Highly Dollarized Developing Country: The case of Lebanon. Central Bank Review, 2020, vol. 20, iss. 2, pp. 43–52. URL: Link
Galvao A., Owyang M. Financial Stress Regimes and the Macroeconomy. Journal of Money, Credit and Banking, 2018, vol. 50, iss. 7, pp. 1479–1505. URL: Link
Shiller R. Irrational Exuberance. New Jersey, Princeton University Press, 2015, 339 p.
Easley D., De Prado M., O'Hara M. Discerning Information from Trade Data. Journal of Financial Economics, 2016, vol. 120, iss. 2, pp. 269–285. URL: Link
Zharikov M. High Frequency Trading in the Modern Market Microstructure: Opportunities and Threats. Review of Business and Economics Studies, 2019, vol. 7, iss. 3, pp. 25–36. URL: Link
O'Hara M. High Frequency Market Microstructure. Journal of Financial Economics, 2015, vol. 116, iss. 2, pp. 257–270. URL: Link
Yashina N.I., Petrov S.S., Kashina O.I., Pronchatova-Rubtsova N.N. [Methodical aspects of monitoring capital inflows and outflows to diagnose financial instability and risks in the stock market]. Audit i finansovyi analiz = Audit and Financial Analysis, 2019, no. 3, pp. 66–70. (In Russ.)
Petrov S.S., Kashina O.I., Osharina N.N. [Risk management of active portfolio strategies amid a financial crisis: real-time monitoring of demand and supply anomalies in the stock exchange]. Audit i finansovyi analiz = Audit and Financial Analysis, 2016, no. 3, pp. 210–219. (In Russ.)
Gregory A., Hua S., Tharyan R. In Search of Beta. The British Accounting Review, 2018, vol. 50, iss. 4, pp. 425–441. URL: Link