TVAR-Models of Financial Security Indicators for Macroeconomic Systems: Impact Assessment of Energy “Shock”

Abstract

The break of connections in economic systems results in imbalance and a theoretical possibility of a threat for their development. This raises the issue of finding an effective mechanism for economic security in general and financial security in particular, which are important elements of how macroeconomic components work. The purpose of the study is to develop models that allow assessing the impact of an energy “shock” on financial security indicators, to identify the threshold values of exogenous variables at which the “shock” has a destructive influence on the level of financial security and can lead to the financial system destabilization. The work uses a branched structure of scientific methods which consist of theoretical and empirical research of the financial security for macroeconomic systems. The main results of this work are devoted to the consideration of the problem of how to design effective mechanisms for ensuring financial security under the conditions of exogenous “shocks” of the global economy. It considers the concept of “shock” and gives the examples of the impact of “shocks” on macroeconomic indicators. The work highlights the energy “shock” as dominant for the analysis and formation of an effective macroeconomic stability policy. The information area of research features is substantiated, including BRENT oil price data and indicators of monetary and currency security, such as the rate of inflation and the exchange rate. Emphasis on subsystems of monetary credit and currency security is made due to the importance of these channels of crisis infection in order to ensure financial security. The value of the lag in the model is substantiated with the help of information criteria; evaluation and testing of the quality of the model have been carried out; system stability has been assessed based on the impulse response function, the TVAR model has been developed. The areas of change of the exogenous variable reflecting the statistically significant impact of the energy “shock” on the rate of inflation are analyzed. Thus, the obtained results made it possible to identify the regimes of energy security, which become a channel of infection of the financial sphere and a significant increase in the level of inflation. Practical significance includes the versatility and applicability of the evaluation approach for research due to the ability to use the entire algorithm as a complete ensemble of models. The results of this material can be used in the formation of government financial security policies and reactions to destabilizing external influences.