Creation of Internal Crisis Predictors: Russian Financial Conditions Index

Yury A. Danilov – Leading Researcher of the Russian Presidential Academy of National Economy and Public Administration, Candidate of Economic Sciences (Moscow, Russia). E-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

Danil A. Pivovarov – Researcher of the Russian Presidential Academy of National Economy and Public Administration (Moscow, Russia). Е-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

Igor S. Davydov – Junior Researcher of the Russian Presidential Academy of National Economy and Public Administration (Moscow, Russia). Е-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

The article discusses the issues of creating crisis predictors based on indicators of the domestic financial market of the Russian Federation. The authors constructed and tested on historical data the Russian Financial Conditions Index, which in a number of specifications showed a 2-quarter lead relative to the dynamics of real GDP. This index is based on the experience of the formation of similar indicators in the USA, where they showed good predictive properties relative to recessions. The creation of a similar Russian indicator is based on objective grounds for the presence of predictive properties of indicators built on the basis of data from the Russian financial sector.

Key words: financial conditions index, financial stress index, crisis predictors, predictive properties, financial sector, financial markets, GDP dynamics.