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Finance and Credit
 

Developing threshold critical values of macroeconomic indicators to predict crisis situations

Vol. 22, Iss. 22, JUNE 2016

PDF  Article PDF Version

Received: 2 February 2016

Received in revised form: 18 March 2016

Accepted: 12 May 2016

Available online: 15 June 2016

Subject Heading: Financial system

JEL Classification: G21, G34

Pages: 17-26

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation
ecolena@mail.ru

Fedorov F.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation
fedorovfedor92@mail.ru

Lazarev M.P. Financial University under Government of Russian Federation, Moscow, Russian Federation
mp_laz@mail.ru

Subject The article considers the calculation of indicators of crisis and their threshold values for the Russian financial market.
Objectives The aim is to develop threshold values of indicators of financial crisis, which may help predict crisis in Russia, Belarus, Kazakhstan and Ukraine at different time periods.
Methods In the study, we applied the model of binary choice (BCT (Binary Classification Tree)). The model is very popular nowadays as it does not require any suppositions about model's basic functional forms, which are considered by regressive models; the correlation between the factors does not play any role; the dependence between variables may not be linear; the model is able to deal with series, where some data are absent.
Results We calculated threshold values of crisis indicators for 1, 3 and 6-month time lags and without any lag. The results are partly confirmed by previous researches on Russia. We developed a new crisis indicator consisting of 3 variables, i.e. a ratio of foreign debt to GDP, the growth of internal dept and inflation.
Conclusions and Relevance The majority of meaningful indicators have 1 and 6-month time lags. The most important indicator for all 4 periods is the ratio of foreign debts to GDP (threshold value is over 4% for 1-month time lag). If internal debt increases or GDP decreases, the likelihood of crisis is strong.

Keywords: indicator, crisis, financial system, monetary crisis

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