Analyzing the Prognostic Properties of Composite Uncertainty Indices in the Preventive Crisis Management Systems

Анотація

The publication researches the prognostic properties of composite indicators obtained on the basis of the method of the main components and uncertainty indices, allowing to provide a qualitative assessment of the probability of a «shock». The base of signal indicators for assessing the efficiency of composite uncertainty indices as preventive indicators is substantiated; a composite uncertainty index based on the methods of reduction of signs, in particular, the method of the main components, is elaborated; the predictive properties of the composite uncertainty index are evaluated in comparison with the generally accepted system of signal indicators. The received results showed that the most common signal indicators for both the developed and the developing economies have low preventive power and actually reflect the beginning of the recession phase, that is, the moment of the onset of a crisis. Further on, the indicators under consideration do not always allow prognosing the duration of the crisis phase. It is demonstrated that the traditional system of signal indicators is advisable to supplement with uncertainty indices that allow to predict a crisis with a certain warning lag. An approach to building a composite uncertainty index based on such a method of reduction of signs as the method of the main components is proposed. A comparative assessment of the efficiency of the signal indicator systems based on the NSR indicator made it possible to conclude that the composite uncertainty index has a better preventive characteristic of crises development, which can be used in the preventive management systems for the purposes of the timely use of the instruments of financial stabilization and security provision.

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