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New issue of the Russian Journal of Money and Finance: Measuring stress in the financial system and using machine learning in forecasting

24 March 2020

The Russian Journal of Money and Finance No 1/2020 has been released.

Monitoring financial stresses is a key factor in ensuring financial stability. It is important for central banks to accurately estimate stress in the financial system and implement necessary macro prudential measures in a timely manner. In a paper published in the Russian Journal of Money and Finance, economists from the Central Bank of Hungary introduce the Factor-based Index of Systemic Stress in the Financial System (FISS), a tool which measures the aforementioned stress, capturing four main segments of the financial system: the foreign exchange market, the bank segment and interbank market, the government bond market, and the capital market.

Another two papers report on the use of machine learning (ML) methods to forecast investment (paper by Mikhail Gareev, RANEPA) and inflation (paper by Evgeny Pavlov, NES) in Russia. Both authors conclude that the forecasting power of ML methods matches and sometimes even exceeds traditionally used models.

The issue also includes two papers of the winners of the 2019 Economic Research Competition organised by the Bank of Russia and the Russian Journal of Money and Finance for students and postgraduates. Pavel Dovbnya (NES) analyses the effect of the announcement of sanctions on the Russian equity market. Ivan Suvorov (University of North Carolina at Chapel Hill) studies the effects of pension valorisation in Russia in 2010 on employment data for retirees themselves and their adult family members.