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Systemic Risk Transmission between Countries: Evidence from High-Dimensional Vector Autoregressions
Procedia Computer Science. 2025. No. 266. P. 447–455.
We investigate the transmission of systemic stress in a sample of selected advanced and emerging market economies for the period between August 2008 and June 2024. Using national SRISK indices, we estimate high-dimensional vector autoregressions and conduct Granger causality tests. We display the lead-lag linkages among the countries as a network and examine its topology. We find that Thailand, France, Singapore and the United States are the main transmitters of systemic financial risk. Thailand and Hong Kong appear the major receivers of systemic risk within the network. These results could be useful for policymakers responsible for the international coordination of macroprudential policies.
Makarov I. A., Россия в глобальной политике 2026 Т. 24 № 4 (140) С. 164–182
Три с половиной года остаётся до 2030-го – окончания срока реализации Целей устойчивого развития (ЦУР) – главной международной инициативы, устанавливающей долгосрочные ориентиры для будущего человечества. Уже очевидно, что она провалилась: преодоление бедности, решение экологических проблем и построение инклюзивного и справедливого общества остались красивой мечтой. Кто-то может воспринимать ЦУР как памятник человеческой наивности. Но надо понимать, что эта ...
Added: September 14, 2026
Fedorova E., Ledyaeva S., Stepanov V., International Review of Economics and Finance 2026
This study investigates the influence of low-quality information, specifically fake news, on short
term stock returns, contributing to the discourse on signal theory and behavioral economics.
Employing a machine learning approach, the authors developed a robust fake news dataset from
publicly available sources. Sentiment analysis was conducted using a FinBERT model fine-tuned
for stock market contexts, alongside extensive dataset ...
Added: September 12, 2026
Карпова Д. А., Sizova I., Gordin V. E., Креативные индустрии 2026 Т. 2 № 2 С. 10–31
This article examines the musealisation of industrial heritage and its role in regional and corporate branding. The relevance of this study stems from deindustrialisation processes, the growth of industrial tourism, and the need to preserve historical memory, which is particularly important in the context of Russian realities—the lack of a legal definition of the concept ...
Added: September 9, 2026
Veselova L. S., Морозова В. С., Дарчиева А. А., Управленец 2026 Vol. 17 No. 4 P. 66–78
На фоне развивающихся торгово-экономических отношений между Россией и Китаем российские десерт- ные бренды получают новые возможности для выхода на китайский рынок. Однако их присутствие ограничено преи- мущественно приграничными регионами, а продвижение сдерживается недостаточной адаптацией к социокультурным особенностям китайских потребителей. Статья посвящена разработке практических рекомендаций по формированию стратегии адаптации российских десертных брендов к специфике китайского рынка. ...
Added: September 9, 2026
Kilinc-Ata N., Warong M. M., SN Business & Economics 2026 Vol. 6 Article 326(2026)
Green transitions are widely expected to attract cleaner capital and accelerate decarbonization; however, emerging-economy evidence increasingly challenges this assumption. This study examines the dynamic relationship between energy transition indicators and capital inflows in BRICS+ economies over the period 1996–2022, explicitly testing the “Green Haven” hypothesis under conditions of global uncertainty. Unlike much of the existing ...
Added: September 9, 2026
Warong M. M., International Journal of Diplomacy and Economy 2026
This study conducted in Indonesia between 2000 and 2023, demonstrates a complex, non-linear interplay between the economic environment and the emergence of clean energy start-ups. Using Autoregressive Distributed Lag and Markov Switching models, the research shows that start-up formation coincides with periods of lower GDP growth, suggesting that innovation is often spurred by necessity. Two ...
Added: September 9, 2026
Кореневский В. В., Экономика и математические методы 2026 Т. 25 № 3 С. 853–878
The US presidential election is a lengthy and complex process, during which candidates present their views and programs for reforming the country's politics and economy, while mass media broadcast these positions to a wide audience. In the most recent election, the topic of cryptocurrencies was used in the campaign for the electorate for the first ...
Added: September 8, 2026
Veselova A., Dikova D., Aray Y., Asia Pacific Journal of Management 2026
We examine board of directors’ gender diversity and corporate social responsibility (CSR) disclosure of Russian firms, and test for their effects on the market valuation of these firms. The Russian context is unique because gender disparity of boards and top management remains high in Russia due to historical legacy, absence of specific diversity-promoting regulations and ...
Added: September 8, 2026
Mozias P., Социальные и гуманитарные науки. Отечественная и зарубежная литература. Серия 9: Востоковедение и африканистика 2026 № 2 С. 173–208
Abstract. Over the years of market reforms, China has moved from an autarkic economy to the position of the world’s largest trading power, becoming a global leader both in export volume and in total foreign trade turnover. For a long time, China’s export success was commonly explained by her use of comparative advantages in labor-intensive ...
Added: September 7, 2026
Kolesnik N. A., Общество и экономика 2026 № 1-2 С. 114–134
Стремительно растущее население планеты и рост объемов индивидуального потребления при низкой включенности населения в экологические практики признается ключевым
препятствием на пути к экономике замкнутого цикла. В статье анализируется использование
огромного рекламно-коммуникационного потенциала крупных торговых сетей для вовлечения
населения в экономику замкнутого цикла через повышение экологической сознательности и популяризацию ответственного потребления. Эмпирической основой исследования стала база данных коммуникации шести ...
Added: September 6, 2026
Boltachev M., Ymer 2026 Vol. 25 No. 8 P. 130–161
The field of business model adaptation (BMA) remains conceptually fragmented: definitions, antecedents, and typological patterns are scattered across isolated empirical studies, precluding cumulative theory-building. This systematic review aims to synthesise the existing literature on BMA by mapping how the construct is defined, what drives it, and what typological patterns can be identified. Following the SPAR-4-SLR ...
Added: September 4, 2026
Vlasov A., Egorov A., Karminsky A. M., FINTECH 2026 Vol. 5 No. 1 Article 21
Amidst the escalating geopolitical fragmentation of the global financial system, divergent stablecoin architectures are emerging. This study employs Qualitative Comparative Analysis (QCA) and introduces a formalized ‘Geopolitical Stablecoin’ (GPSC) model to conduct a systematic comparison of three representative cases: A quasi-sovereign asset within a coordinated closed-loop system, a commercial asset with global open-market circulation, and a ...
Added: March 30, 2026
Банникова В. А., Виноградова О. С., Penikas H. I., Вопросы экономики 2025 № 9 С. 103–125
События 2022—2023 гг. сформировали условия для изучения квазиестественного эксперимента с целью оценить влияние мер поддержки Банка России на биржевую стоимость акций банков. Общий фон внешних событий воздействовал на всех участников фондового рынка. Однако по отношению к банкам было осуществлено дополнительное воздействие, которого не было для иных компаний, — это меры поддержки банков, принятые в 2022 ...
Added: September 9, 2025
Lapteva E., Pilnik N., Вестник Санкт-Петербургского университета. Серия 5. Экономика 2025 Т. 41 № 3 С. 340–363
The article systematizes, synthesizes, and compares the results of studies aimed at modeling and assessing the effectiveness of macroprudential policy both at the level of individual countries and in a cross-country context. It provides an interdisciplinary review that integrates empirical findings with theoretical frameworks of macroprudential regulation, offering a novel analytical perspective on its effectiveness ...
Added: June 30, 2025
Shchepeleva M., Procedia Computer Science 2024 Vol. 242 P. 51–56
We test the predictive performance of different ensemble methods for forecasting systemic risk in Russia for the period 2008-2024. In contrast to the existing research on machine learning ensemble techniques, we find that conventional random forest works better for the Russian data. Based on this model, we additionally conduct variable importance analysis. We identify that ...
Added: June 17, 2025
E. R. Rzaev, Monakhova E. A., A. Y. Romanov, Lobachevskii Journal of Mathematics 2024 Vol. 45 No. 12 P. 6581–6593
Circulant graphs is a promising topology for network applications. This paper is devoted to the development of new software for searching optimal circulant graphs by the criteria of minimizing the average length of shortest paths and diameter. A new version of the algorithm for searching optimal circulant graphs with low time complexity is proposed. New ...
Added: March 27, 2025
Stolbov M., Shchepeleva M., Journal of Finance and Data Science 2024 Vol. 10 Article 100144
We identify robust predictors of global systemic risk proxied by conditional capital shortfall (SRISK) among a comprehensive set of commodity prices for the period between January 2004 and December 2021. The search is based on a battery of ML variable selection algorithms which apply both to price levels and price shocks in the presence of ...
Added: February 20, 2025
Andreev M., M. Udara Peiris, Alexander Shirobokov et al., Annals of Finance 2024 Vol. 20 P. 167–197
Commodity-exporting economies display procyclicality with the price of commodity exports. However, the evidence for the relative importance of commodity price shocks for aggregate fluctuations remains inconclusive. Using Russian data from 2001 to 2018 we estimate a small open economy New Keynesian model with a banking system and leveraged domestic firms who default on their unsecured ...
Added: February 19, 2025
Stolbov M., Shchepeleva M., Environmental and Sustainability Indicators 2024 Vol. 22 Article 100389
The paper studies the relationships among the composite indicators of environmental performance, financial development, systemic risk and economic uncertainty for a balanced panel of 57 countries during 2010–2020. The analysis builds on panel local projections by Jord´ a (2005). In addition to the whole panel, this technique also applies to two sub-panels obtained via the ...
Added: May 22, 2024
Peiris U., Shirobokov A., Tsomocos D., Journal of International Money and Finance 2024 Vol. 141 Article 103012
Emerging Market Economies struggle to balance monetary policy with capital flow management and commodity price volatility. Our study employs a New-Keynesian model, using Russian data from 2001 to 2019, to examine ‘Lean Against the Wind’ (LAW) monetary policies. We show that under Lean Against the Wind (LAW) policies, households with borrowed funds experience improved welfare, ...
Added: April 8, 2024
Stolbov M., Shchepeleva M., Parfenov D., Economics Letters 2024 Vol. 235 Article 111550
The paper investigates the lead-lag relationships among systemic risk, economic uncertainty and real economic activity for top-5 contributors to global systemic risk, the USA, China, the UK, France and Japan, during January 2010-July 2023. By decomposing these variables into a below- and above-the-median components and applying VAR models to them, we confirm the presence of asymmetric relationships ...
Added: January 30, 2024
Dzuba S. A., Тишковец В. С., Shchepeleva M., Финансы: теория и практика 2023 Т. 27 № 5 С. 182–194
The subject of this research is systemic risk transmission between financial sectors in the international financial market. The purpose of our paper is to determine topology characteristics for the network connecting banking systems in the Asia-Pacific region (APR) and Russia. Given the growing role of this region in the global financial market, its susceptibility to ...
Added: November 20, 2023
Dzhagityan E. P., Алексеева М. Г., Журнал Новой экономической ассоциации 2024 № 2 (63) С. 168–191
Amid increasing uncertainty in the global financial markets, the accumulation of risks in the banking sector highlights the lack of alternatives to macroprudential policy (MPP), including in the light of the bankruptcy of a number of leading U.S. banks. The paper investigates the impact of macroprudential policy on the risks of large U.S. bank holding ...
Added: November 12, 2023
Dungey M., John H., Volkov V., Journal of International Financial Markets, Institutions and Money 2019 P. 149–168
We assess the changing nature of the relationships between financial institutions and sovereigns globally using a weighted, directed network of CDS spreads. The framework includes both the strength and direction of the links in the network, allowing us to formally test for evidence on changes in the completeness of the network, for contagion effects, and ...
Added: November 10, 2023