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Russian Financial Crisis of 1998: An Econometric Investigation

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  • Feridun, Mete

Abstract

This article aims at deriving lessons from the Russian financial crisis through examining the root causes of the crisis based on a probit model incorporating 20 monthly macroeconomic and financial sector indicators spanning the period 1988:1 – 1998:8. The results turned out to be as expected. Strong evidence emerged suggesting that the significant variables are foreign direct investment/GDP, inflation, world oil prices, real interest rates, current account/GDP, GDP per capita, foreign exchange reserves, stock prices, real exchange rate, and export growth. Signs of the variables were mostly in line with what one would have expected, except public debt, bank reserves / bank assets, real interest rates, and lending and deposit rate spread.

Suggested Citation

  • Feridun, Mete, 2004. "Russian Financial Crisis of 1998: An Econometric Investigation," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 1(4), pages 113-122.
    • Handle: RePEc:eaa:ijaeqs:v:1:y2004:i:1_24
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    References listed on IDEAS

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    1. Pablo Bustelo & Clara Garcia & Iliana Olivie, 1999. "Global and Domestic Factors of Financial Crises in Emerging Economies: Lessons from the East Asian Episodes (1997-1999)," Working Papers 002, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
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    8. Feridun, M., 2004. "Brazilian Real Crisis Revisited: A Linear Probability Model to Identify Leading Indicators," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 1(1), pages 81-96.
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    Cited by:

    1. Saleem, Kashif, 2009. "International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis," Research in International Business and Finance, Elsevier, vol. 23(3), pages 243-256, September.
    2. Saleem, Kashif, 2008. "International linkage of the Russian market and the Russian financial crisis: a multivariate GARCH analysis," BOFIT Discussion Papers 8/2008, Bank of Finland Institute for Emerging Economies (BOFIT).
    3. Dimitrios Tsiotas & Marina‐Selini Katsaiti, 2025. "A 3D index for measuring economic resilience with application to modern financial crises," Journal of International Development, John Wiley & Sons, Ltd., vol. 37(2), pages 371-404, March.
    4. Svatoš, M. & Smutka, L. & Ishchukova, N. & Vasilyonok, V., . "Russian Agrarian Foreign Trade Development – the Impact of Selected Factors," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 6(3), pages 1-13.
    5. B. Bakhtyar, 2017. "Asian and Global Financial Crises Effect on Malaysia Co2 Emission," International Journal of Energy Economics and Policy, Econjournals, vol. 7(2), pages 236-242.

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    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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