ACRA Financial Stress Index (ACRA FSI RU)

The Index is used to evaluate the possibility of financial crisis in Russia

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Comments

A year has passed since the Financial Stress Index peaked. On March 18, 2020, the ACRA FSI reached its highest value in the past five years — 4.5 points — while in general high index values (more than 2.5 points) were recorded from March 9 until April 30 due to the restrictions introduced in Russia and abroad to fight against COVID-19, as well as the high degree of uncertainty in financial and commodity markets. Therefore, the period of heightened index values lasted for 53 days, which is significantly shorter compared to previous crises. For comparison, in 2008–2009, the FSI remained above the critical level of 2.5 points for more than 200 days, while in 2014–2015, this period exceeded 100 days. The Financial Stress Index has fluctuated in the range of 0.1–0.6 points since the beginning of 2021 to today’s date, which generally characterizes the situation in the Russian financial system as relatively stable.

18.03.2021

ACRA has updated the set of crude oil forward prices (used in calculating the ACRA FSI) from January 1 to February 24, 2021, which has led to a relevant adjustment of the financial stress index values for Russia. The maximum absolute difference between the old and updated index values since January 1, 2021 amounted to 0.176 as of February 24, but the average difference is much lower. The update of ACRA FSI values has not affected our understanding of the level and dynamics of financial stress in Russia, which is currently close to its historic lows.

25.02.2021

In May and June, the indicators that form the financial stress index (ACRA FSI) stabilized, following the period from mid-March until the end of April, during which the index exceeded the critical mark of 2.5 points. The index’s average value for the past two months was 1.5 points. However, on July 10 it amounted to 0.7 points, which shows that the peak of negative impact on the financial markets caused by the first wave of the coronavirus pandemic has passed and that the situation is gradually normalizing. In comparison to the crises of 2008–2009 and 2014–2015, the period this year when the index was above the critical mark was the shortest: one-and-a-half months compared with six months and three months, respectively.

10.07.2020

The negative effect of the coronavirus on the global economy continues. This is mostly related to the spread of the infection outside China, which is negative for the economic activity in many countries as well as oil demand. In addition, commodity markets have been seriously hit by the termination of the OPEC+ deal. Following the oil price collapse, the Russian ruble has depreciated substantially, and the Russian stock market plunged. The ACRA FSI has added 2 points as compared to Friday, March 6, and reached 3.1 points on March 10. Such spikes in the ACRA FSI have been recorded 12 times since 2006: in 2008, 2009, and 2014. When the index exceeds 2.5 points, the probability of a financial crisis increases. This mark, however, does not necessarily suggest that a crisis has already started. For example, the ACRA FSI exceeded 2.5 points within a short period of time in 2016, which was not followed by a financial crisis.

10.03.2020

The spread of the coronavirus outside of China ‒ in Italy and South Korea – has resulted in substantial volatility in global equity markets and substantial losses for major stock indices. The spread of the virus has also had an effect on Russia: the Russian ruble has depreciated against the US dollar by 2%, crude oil prices have seen a 9% decline since February 20, and the MOEX Russia Index has dropped 5% in the same period. The ACRA FSI has increased 0.36 points compared to the previous day.

26.02.2020

ACRA Financial Stress Index (ACRA FSI RU)

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