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Digital Transformation of Capital Market Infrastructure

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  • Mikhail E. MAMONOV, Anna A. PESTOVA

Abstract

This paper provides a joint analysis of business and credit cycles with a focus on unobservable factors affecting both cycles, at the cross-country level. Using quarterly data for 19 developed countries and Russia for the period from 1994 to 2018, we build a system of two dynamic probit models, which includes a cross-correlation between the errors of the equations governing the probability of a recession and the probability of credit crisis.

Suggested Citation

  • Mikhail E. MAMONOV, Anna A. PESTOVA, 2020. "Digital Transformation of Capital Market Infrastructure," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, pages 1-30, October.
    • Handle: RePEc:rnp:ecopol:s2056
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    References listed on IDEAS

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    1. Markus K. Brunnermeier & Yuliy Sannikov, 2014. "A Macroeconomic Model with a Financial Sector," American Economic Review, American Economic Association, vol. 104(2), pages 379-421, February.
    2. Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "The Aftermath of Financial Crises," American Economic Review, American Economic Association, vol. 99(2), pages 466-472, May.
    3. A. Pestova., 2013. "Predicting Turning Points of the Business Cycle: Do Financial Sector Variables Help?," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 7.
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    6. Yury Achkasov, 2016. "Nowcasting of the Russian GDP Using the Current Statistics: Approach Modification," Bank of Russia Working Paper Series wps8, Bank of Russia.
    7. David López-Salido & Jeremy C. Stein & Egon Zakrajšek, 2017. "Credit-Market Sentiment and the Business Cycle," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(3), pages 1373-1426.
    8. Christiansen, Charlotte & Eriksen, Jonas Nygaard & Møller, Stig Vinther, 2014. "Forecasting US recessions: The role of sentiment," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 459-468.
    9. Смирнов Сергей Владиславович & Кондрашов Николай Владимирович & Петроневич Анна Васильевна, 2015. "Поворотные Точки Российского Экономического Цикла, 1981–2015 Гг," Higher School of Economics Economic Journal Экономический журнал Высшей школы экономики, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», vol. 19(4), pages 534-553.
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    11. Solntsev, O. & Mamonov, M. & Pestova, A. & Magomedova, Z., 2011. "Experience in Developing Early Warning System for Financial Crises and the Forecast of Russian Banking Sector Dynamic in 2012," Journal of the New Economic Association, New Economic Association, issue 12, pages 41-76.
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