Systemic risk impact on the socio-economic development of the country

Systemic risk has not only primary consequences for a country's financial system, but their hazards are more likely to have secondary and tertiary impacts, as they are embedded in the broader context of social, economic and political risks and threats. The aim of the study is to develop an econometric model for assessing the systemic risks impact on the socio-economic development in the country. To achieve this goal, the following research methods were used: correlation matrix, Diki-Fuller test, Census X-13 method, vector-autoregressive model (VAR). The study of the relationship between the systemic risk in the country and the socio-economic development in the article is carried out in the following logical sequence: firstly, formed the information base of the study and adjusted the data for the seasonal component, secondly the checked the multicollinearity between the selected factors, thirdly, the socio-economic factors that have the closest connection with the level of systemic risk were identified,, fourthly, a vector autoregressive model (VAR) is built and its adequacy is checked. To characterize the level of systemic risk in the country, the financial stress index was calculated, which is formed by the National Bank of Ukraine. The information base of the study are monthly data from April 2008 to December 2019. As a result of the study it was found that the shock caused by systemic risk leads to: rising unemployment in the coming months, a sharp decline in wages in the first four months, the decline in business activity of economic entities in the industrial sector, as well as a decrease in foreign trade. The obtained practical results can be taken into account in the formation of macroprudential policy in the context of identifying measures to prevent the emergence and accumulation of systemic risks