Abstract
Global liquidity shortage as well as the availability on the market of overpriced assets and derivatives led to the situation where the global economy depends primarily on liquidity, becoming prone to chain-consistent world crises. Only for the last 15 years, the world has witnessed a continuous series of crises. Therefore, the study of the processes and phenomena of crisis is one of the most important scientific and practical tasks. The aim of this work consisted in the development of methods and models for the early detection of crises in the economy. The significance of the work is to develop an econometric model and tools for detection of crisis.
Highlights
The global shortage of liquidity and presence of overvalued, low-liquid assets and derivatives on the market have led to a situation where the world economy, being primarily dependent on the amount of liquidity, became subject to successive world crises
Over the past 15 years alone, the world has experienced a continuous series of crises (Mohti et al 2019)
Market trends, as well as crises market states and bankruptcies, are the fundamental factors affecting the development of the world economy (Mikhaylov 2020)
Summary
The global shortage of liquidity and presence of overvalued, low-liquid assets and derivatives on the market have led to a situation where the world economy, being primarily dependent on the amount of liquidity, became subject to successive world crises. The authors Addo et al (2013, 2014) located the hidden patterns underlying the financial crisis using the concept of recurrence plots to study the stock market. The authors Wosnitza and Denz (2013) employed the log-periodic power law (LPPL) to analyze the financial crisis They proposed the concept of a mechanism behind the heavy withdrawal of funds from banks (bank runs) and made conclusions of banks’ refinancing options. Based on the identified patterns in the time series, a crisis indicator is developed that captures the crisis at an early stage. The study ends with a section in which an econometric model of the crisis is proposed, providing a possibility to predict the ending moment of the asset crisis
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