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

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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