Phase model of asset crises identification

Abstract

The study is devoted to an econometric model development for the asset crises identification. Unlike the classical approach, the economic crisis is considered not as a one-time state (for example, the point of bifurcation in Krugman's equilibrium crisis model or the market oversaturation moment in Marx's theory), but as a process that continues in time. A method for crisis initial phase early identification is developed. To identify a systemic crisis, an ANOVA based indicator is proposed.