TY  - JOUR
TI  - A Simple Model of Crises Prediction
T2  - HSE Economic Journal 
IS  - HSE Economic Journal 
KW  - financial crises
KW  - credit meltdown
KW  - complex system
KW  - critical point
KW  - debt monetization
KW  - financial bubble
AB  - Financial crises were studied as disturbances of a debt monetization process. A simple model was proposed for the critical values prediction of several financial indicators. The forecast of these values was made on the basis of the IMF global financial stability statistics. The model was used to investigate the three types of financial interrelations. The first embraced processes of a debt monetization, economic growth and leverage, all these processes being modeled as the «Malthusian» equations. Then the group of distributions of a random number of crisis occurrences in the last 105 years was studied. The expected value of a sample number of crises was used to parameterize Pareto distributions of financial indicators. Their critical values being defined for the equal probabilities of system’s collapse and survival, would have been reached approximately by the year 2015. Hence, contrary to the positive trends being quite noticeable in the post-crisis period, the global financial system seems to have a great chance to be drowned under the «second wave» of a crisis.
AU  - Alexander Smirnov
UR  - https://ej.hse.ru/en/2013-17-2/105187792.html
PY  - 2013
SP  - 191-226
VL  - 17