Разработка системы индикаторов финансовой нестабильности на основе высокочастотных данных
In this paper we propose a system of financial stress indicators for Russia based on high frequency data. Unlike previous studies, we identify financial instability for different types of financial risks (credit, liquidity, currency, interest rate, external finance risk), not for different segments of financial market. With constructed composite indicator of systemic risk at hand, we identify crisis events in the Russian financial market in 2008–2009 and in 2014–2015, which were caused by both the negative impact of external financial shocks and the deterioration of domestic macroeconomic conditions. In addition, we find strong evidence in favor of different types of financial risks co-movement.