Fedorova E.A.Financial University under Government of Russian Federation, Moscow, Russian Federation ecolena@mail.ru
The purpose of the work is to develop the financial sustainability index (FSI) characterizing the condition of the Russian financial system. The paper deals with foreign and national approaches to the financial sustainability index building. In Russia, K. Kozlov and A. Sinyakov, the analysts of the Center for Macroeconomic Research (CMR) of Sberbank, were involved in the index methodology development and critical value assessment. The existing approaches have a number of drawbacks: the works apply rather standard research methodology and do not distinguish the period of crisis situations. I suggest using the Markov Switching autoregressive model, which enables to identify critical periods. Another unresolved issue is to determine the ways to analyze the dynamics and critical limits of the index. In the research, I calculate the boundaries based on the comparison of the index with the average index for the risk-free period. Based on the developed index at different lags, I made the following conclusions: for the purpose of operative management of price level it is better to use a six- month forecast, for strategic management - a one-year forecast. The article specifies the critical values of the developed indices. On the basis of the index volatility (excluding the acute phase of the crisis from September, 2008 to May, 2009), it is possible to conventionally identify three areas below the mean, which would indicate different levels of financial stress. The index deviation from the average index identifies the intervals of boundaries of different levels of financial stress. Proceeding from the fact that the percentage of reliability of the models is higher in case of one-year forecast, I recommend identifying crisis periods on the basis of one-year forecast models first, and then to explore six-month forecast models using these periods.
Keywords: Financial Sustainability Index, FSI, periods, crisis, Markov model
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