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Finance and Credit

29(557) - 2013 August

Forecasting crisis periods of the countries of BRIC

Vol. 19, Iss. 29, AUGUST 2013

Available online: 11 August 2013

Subject Heading: Financial market

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

Ershova I.A. Student of the Department of Financial management, the Financial University under the Government of the Russian Federation
irasik88@mail.ru

The research of changes in the exchange rate of dollar and price of oil is conducted in this article by the Markov Switch GARCH model, their interrelation and special behavior is revealed during the crisis periods. This research is carried out for the first time for the countries of BRIC and is particularly relevant in the conditions of world economy globalization since timely recognition of crises will give the chance to taking measures to its mitigation and faster overcoming.

Keywords: oil price, US dollar exchange rate, Markov switching model, GARCH model, crisis period, countries of BRIC

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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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