APPENDIX 5
Table A5
Characteristics of the signaling indicators of financial instability
Indicator
GDP growth ratio
Dynamics of industrial output
Current account balance
Gold and foreign currency reserves
Foreign state debt
Terms of trade4 (oil prices on Brent
Crude)
Import and export
Real effective exchange rate of ruble
Net capital outflow6
Capital outflow
Real exchange rate on the interbank credit
market
Spread between domestic interest rate
and LIBOR
Relation of credit rate to deposit rate
Customer price index
1
Changes
Periodicity
Source of information
Growth rate in real terms in relation to same period of
previous year
Rate of growth I relation to previous period
Level
Growth rate in relation to previous period
% GDP
Level
on a quarterly basis
MED1
on a monthly basis
on a quarterly basis
on a monthly basis
on a quarterly basis
on a monthly basis
FSSS2
CB3
CB
CB
IFS5
Growth rate in relation to same period of previous year
Growth rate in relation to previous period
Level
Level
Level
on a monthly basis
on a monthly basis
on a quarterly basis
on a quarterly basis
on a quarterly basis
CB
CB
CB, calculations
CB, calculations
CB, FSSS, calculations
Level
on a monthly basis
CB, IFS, calculations
Level
Growth rate in relation to the same period of previous year
on a monthly basis
on a monthly basis
CB, calculations
FSSS
Ministry for Economic Development of the Russian Federation, www.economy.gov.ru. Preliminary estimate.
Federal State Statistic Service of the Russian Federation, www.gks.ru.
3
The Central Bank of the Russian Federation, www.cbr.ru.
4
In original this indicator presents a relation of export prices to import prices. Such calculations are not possible because of the absence of export prices and
import prices in the statistical data from the balance of payment of the Russian Federation. As similar variable I used the dynamics of oil prices of the Brent
Crude. Because oil takes one of the main positions of the Russian export, then index of changes of its prices, assuming a relative invariability of the prices on
imported good, might serves as a relatively reliable indicator of the terms of trade in the country.
5
International Financial Statistics database, www.imf.com
6
Net capital outflow is an account balance of capital flow for banks and non-financial entities, also net errors and omissions. Capital outflow is characterized by
sum of trade credits and advances, not returned on time export revenues and net errors and omissions. Positive value of the variable means capital inflow,
negative – capital outflow.
2
Domestic credit
Monetary multiplier
Deposits7
Relation of money supply to gold and
foreign currency reserves
Excessive money supply in real terms8
Speculative pressure index9
Growth rate in real terms in relation to the previous period
Level
Growth rate in real terms in relation to previous period
Level
on a monthly basis
on a monthly basis
on a monthly basis
on a monthly basis
CB
CB, calculations
CB, FSSS, calculations
CB, calculations
% GDP
Index
on a quarterly basis
on a monthly basis
CB, FSSS, calculation
CB, calculations
w1 E  w2 ( R )  w3i
.
3
Weights w1 , w2 , w3 are picked up so that dispersion of all three values were equals, in other words: D( w1 E )  D( w2 R )  D( w3i ) . Therefore, taking w1  1,
I
w2 
7
8
D (E )
, w 
D (R ) 3
D (E )
.
D ( i)
It is an amount on deposits able to be withdrawn on demand, deposits with fixed period, saving deposits and deposits in foreign currency.
Excessive money supply in real terms is a deviation of estimated money demand to observed money supply (expressed as a money supply share in GDP), i.e. as
remains of the regression equation:
where,
Mt
 a0  a1Yt  a 2 pt  a3t   t ,
GDPt
M t – денежная масса М2; GDPt – nominal GDP; Yt – GDP volume (in real terms); рt – consumer price index; t – time. Remains  t are interpreted
as an indicator of excessive lending in economy.
9
Index presents a weighted-average of the three variables:
E ;
2) Increase rate of gold and foreign currency reserves (reversed in sign), R ;
1) Increase rate of the exchange rate of the national currency per month,
3) Level of the interest rate (for Russia it is a weighted-average interest rate on the ruble credits to corporate entities in the lending institutions), i.
Two last variables reflect fiscal and monetary policy of the governmental bodies on the exchange market in case of the speculative attack on the exchange rate
of the national currency. It is assumed that at the fixed (regulated) exchange rate speculative attack on the exchange rate will appear as a decrease of the gold and
foreign currency reserves. At the same time at any given regime of the exchange rate, for the protection of national currency central bank may raise interest rates.
It is taken in account through including in the formula to calculate third variable. Thus, speculative pressure index is calculated in a following way: