Forecasting financial crises with the help of economic indicators in the CIS countries

Fedorova, Elena; Lukasevich, I.

doi:10.1134/s1075700712020050

Cited by 4 publications

(1 citation statement)

References 15 publications

(21 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In addition, they found that there is a correlation between crisis and contagion spreading to countries with high international trade easier than countries with similar macroeconomic fundamentals. Similarly, Fedorova and Lukasevich (2012) using probit model on a data set consist of CIS countries; they found that the spread of a crisis is more likely in neighboring countries with strong trade links.…”

Section: Probit and Logit Modelsmentioning

confidence: 99%

Leading Indicators of Turkey’s Financial Crises

Kaakeh

Gökmenoğlu

2022

New Dynamics in Banking and Finance

View full text Add to dashboard Cite

This study empirically observes the leading indicators of 1994, 2000/2001 and 2009 Turkish financial crises. Stepwise regression, Probit and Logit models have been applied to three sets of quarterly data covering the periods of Q1-1990 to Q4-1999 to investigate the leading indicators of the 1994 crisis, from Q3-1996 to Q2-2005 to capture the 2000/2001 twin crises, and from Q3-2005 to Q3-2015 to see the global financial crisis effect on Turkey. Results assert that the three crises of Turkey are different in structure and each has different characteristics with different leading indicators. The results provide a new set of leading indicators that includes capital adequacy and long-term interest rates as well as international variables, and these indicators are compatible with the new structure of Turkish economy. Regulators and policymakers should pay close attention to macroeconomic variables and the banking sector stability of Turkey as well as the status of the global economy as the resultsshow that many banking and international related variables increase the probability of the crisis, this can be through imposing tighter regulations on banks to avoid default and credit risk, following the liquidity levels in the markets and closely following the stability of global economic indicators.

show abstract

Section: Probit and Logit Modelsmentioning

confidence: 99%

Leading Indicators of Turkey’s Financial Crises

Kaakeh

Gökmenoğlu

2022

New Dynamics in Banking and Finance

View full text Add to dashboard Cite

show abstract

Exchange rate spillovers in the CIS

Giorgadze

2024

Eurasian Econ Rev

View full text Add to dashboard Cite

Impact of Crisis Coverage on the Financial Market of Russia

Fedorova

Musienko

Fedorov³

et al. 2019

jour

Self Cite

View full text Add to dashboard Cite

The article examines the impact of informational messages characterizing the crisis in the economy on the financial market indicators. The aim of the article is to build an index that allows assessing the crisis situation in the country based on textual analysis of informational messages. Due to the literature review, the factors determining the crisis in the economy were identified. The empirical base of the study included more than 10 million news texts from various sources accredited by Thomson Reuters. For the first time, the authors compiled a “bag of words” (dictionary) to determine the crisis situation in the country; and by means of the text analysis, they developed the author’s crisis index calculated on the basis of news reports in foreign media about Russia. They conducted the analysis of the relations between the crisis index and the stock index MOEX. According to the results of the study, it has been established that an increase in the number of news reports determining the crisis situation in the economy has a negative effect on the financial market: it leads to a drop in stock prices. Thus, not only objective economic factors, but also the information component influencing the mood of investors and the behavior of economic entities, affects the key indicators of the financial market. The proposed author’s crisis index can also be used to assess other relations, for example, the effect of the crisis on the exchange rate.

show abstract

Forecasting financial crises with the help of economic indicators in the CIS countries

Abstract: Based on probit modeling, outstripping economic indicators for forecasting financial crises in the CIS countries are identified. The obtained results can be used by public authorities to monitor the financial instability of the economy and timely respond.

Cited by 4 publications

References 15 publications

Leading Indicators of Turkey’s Financial Crises

Leading Indicators of Turkey’s Financial Crises

Exchange rate spillovers in the CIS

Impact of Crisis Coverage on the Financial Market of Russia

Contact Info

Product

Resources

About