Transmission Channels of Crisis Situations in the Russian Federation and their Identification

E.A. Fedorova, D.O. Afanasyevsored

Studies on Russian Economic Development, 2014, 25(5), 500-508.

DOI: 10.1134/S1075700714050037

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Abstract

The article identifies significant transmission channels of crisis situations in the Russian economy (based on the application of Markov regime-switching model and the likelihood ratio test). A system of comprehensive crisis indicators has been developed that makes it possible to predict the probability of a crisis in the Russian Federation for one month, a quarteryear, and a halfyear ahead.

Keywords

Crisis indicators, EMPI, channels of contagion, Markov regime-switching model

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