title: Ð­ÐºÐ¾Ð½Ð¾Ð¼ÐµÑÑÐ¸ÑÐµÑÐºÐ¾Ðµ Ð¼Ð¾Ð´ÐµÐ»Ð¸ÑÐ¾Ð²Ð°Ð½Ð¸Ðµ Ð²Ð»Ð¸ÑÐ½Ð¸Ñ ÑÐ¾ÑÐ¸Ð°Ð»ÑÐ½Ð¾-ÑÐºÐ¾Ð½Ð¾Ð¼Ð¸ÑÐµÑÐºÐ¸Ñ Ð¿Ð¾ÐºÐ°Ð·Ð°ÑÐµÐ»ÐµÐ¹ Ð½Ð° ÑÐ¾Ð½Ð´Ð¾Ð²ÑÐµ Ð¸Ð½Ð´ÐµÐºÑÑ
title: Ð²ÑÐ¿ÑÑÐºÐ½Ð°Ñ ÐºÐ²Ð°Ð»Ð¸ÑÐ¸ÐºÐ°ÑÐ¸Ð¾Ð½Ð½Ð°Ñ ÑÐ°Ð±Ð¾ÑÐ° Ð¼Ð°Ð³Ð¸ÑÑÑÐ°
titleType: Subtitle
title: Econometric modeling of the influence of social-economic indicators on stock indices
Creators: name: ÐÑÑÑÑÐ½ÑÐ½, ÐÐ°Ð½Ñ
Publisher: name: Ð¡Ð°Ð½ÐºÑ-ÐÐµÑÐµÑÐ±ÑÑÐ³ÑÐºÐ¸Ð¹ Ð¿Ð¾Ð»Ð¸ÑÐµÑÐ½Ð¸ÑÐµÑÐºÐ¸Ð¹ ÑÐ½Ð¸Ð²ÐµÑÑÐ¸ÑÐµÑ ÐÐµÑÑÐ° ÐÐµÐ»Ð¸ÐºÐ¾Ð³Ð¾
Year: 2020
Subjects: ÑÐ¾Ð½Ð´Ð¾Ð²ÑÐµ Ð¸Ð½Ð´ÐµÐºÑÑ
ÑÑÐ½Ð¾ÑÐ½ÑÐµ ÑÑÑÐµÐºÑÑ
covid-19
Ð¿Ð°Ð½Ð´ÐµÐ¼Ð¸Ñ
ÑÐ³Ð»Ð°Ð¶Ð¸Ð²Ð°Ð½Ð¸Ðµ Ð²ÑÐµÐ¼ÐµÐ½Ð½ÑÑ ÑÑÐ´Ð¾Ð²
Ð¸Ð¼Ð¿ÑÐ»ÑÑÐ½ÑÐµ Ð¾ÑÐºÐ»Ð¸ÐºÐ¸
Ð²ÐµÐºÑÐ¾ÑÐ½Ð°Ñ Ð°Ð²ÑÐ¾ÑÐµÐ³ÑÐµÑÑÐ¸Ñ
Ð¼Ð¾Ð´ÐµÐ»Ñ Ð³ÑÐµÐ½Ð´Ð¶ÐµÑÐ°
Ð°Ð²ÑÐ¾ÑÐµÐ³ÑÐµÑÑÐ¸Ñ
ÑÐºÐ¾Ð»ÑÐ·ÑÑÐ°Ñ ÑÑÐµÐ´Ð½ÑÑ
stock indices
market effects
pandemia
time series smoothing
impulse responses
vector autoregression
grandger model
autoregressia square

description: Ð¦ÐµÐ»ÑÑ Ð¼Ð°Ð³Ð¸ÑÑÐµÑÑÐºÐ¾Ð¹ Ð´Ð¸ÑÑÐµÑÑÐ°ÑÐ¸Ð¸ ÑÐ²Ð»ÑÐµÑÑÑ Ð°Ð½Ð°Ð»Ð¸Ð· Ð²Ð»Ð¸ÑÐ½Ð¸Ñ Ð¸Ð¼Ð¿ÑÐ»ÑÑÐ¾Ð² ÑÑÑÑÐµÑÑÐ¾Ð² ÑÐµÐ½Ñ Ð½ÐµÑÑÐ¸ Ð¼Ð°ÑÐºÐ¸ Brent Ð¸ Ð¸Ð½Ð´ÐµÐºÑÐ° DXY Ð½Ð° Ð¸Ð½Ð´ÐµÐºÑÑ: Ð Ð¢Ð¡, Ð¡20, Nikkei225, S&amp;P500 Ð¸ DAX Ð² Ð¿ÐµÑÐ¸Ð¾Ð´ Ð´Ð¾ Ð¿Ð°Ð½Ð´ÐµÐ¼Ð¸Ð¸ COVID-19 - Ñ 4 ÑÐ½Ð²Ð°ÑÑ 2019 Ð³Ð¾Ð´Ð° Ð¿Ð¾ 10 Ð¼Ð°ÑÑÐ° 2020 Ð³Ð¾Ð´Ð° Ð¸ Ð¿ÐµÑÐ¸Ð¾Ð´ Ð¿Ð¾ÑÐ»Ðµ COVID-19 - Ñ 11 Ð¼Ð°ÑÑÐ° 2020 Ð³Ð¾Ð´Ð° Ð¿Ð¾ 29 Ð¼Ð°Ñ 2020 Ð³Ð¾Ð´Ð°. ÐÐ±ÑÐµÐºÑÐ¾Ð¼ Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ ÑÐ²Ð»ÑÑÑÑÑ ÑÐ¾Ð½Ð´Ð¾Ð²ÑÐµ Ð¸Ð½Ð´ÐµÐºÑÑ. ÐÑÐµÐ´Ð¼ÐµÑÐ¾Ð¼ Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ ÑÐ²Ð»ÑÑÑÑÑ Ð¸Ð·Ð¼ÐµÐ½ÐµÐ½Ð¸Ñ ÑÐ¾Ð½Ð´Ð¾Ð²ÑÑ Ð¸Ð½Ð´ÐµÐºÑÐ¾Ð². Ð Ð´Ð°Ð½Ð½Ð¾Ð¹ Ð²ÑÐ¿ÑÑÐºÐ½Ð¾Ð¹ ÐºÐ²Ð°Ð»Ð¸ÑÐ¸ÐºÐ°ÑÐ¸Ð¾Ð½Ð½Ð¾Ð¹ ÑÐ°Ð±Ð¾ÑÐµ ÑÐ°ÑÑÐ¼Ð°ÑÑÐ¸Ð²Ð°ÑÑÑÑ ÑÐ¸Ð½Ð°Ð½ÑÐ¾Ð²ÑÐµ ÑÑÐ½ÐºÐ¸ Ð¸Ñ ÑÐ°ÑÐ°ÐºÑÐµÑÐ¸ÑÑÐ¸ÐºÐ°. ÐÑÐ¾Ð²Ð¾Ð´Ð¸ÑÑÑ Ð°Ð½Ð°Ð»Ð¸Ð· ÑÑÐ½Ð¾ÑÐ½ÑÑ ÑÑÑÐµÐºÑÐ¾Ð² Ð¸ Ð¸Ñ Ð²Ð»Ð¸ÑÐ½Ð¸Ðµ Ð½Ð° ÑÐ¾Ð½Ð´Ð¾Ð²ÑÐµ Ð¸Ð½Ð´ÐµÐºÑÑ. Ð ÑÐµÐ·ÑÐ»ÑÑÐ°ÑÐµ ÑÐµÐ³Ð¾ Ð¾ÑÐ¼ÐµÑÐµÐ½Ð¾, ÑÑÐ¾ Ð¸Ð·Ð¼ÐµÐ½ÐµÐ½Ð¸Ñ Ð½Ð° ÑÐ¾Ð½Ð´Ð¾Ð²Ð¾Ð¼ ÑÑÐ½ÐºÐµ ÑÐ²ÑÐ·Ð°Ð½Ñ Ñ Ð¼Ð°ÐºÑÐ¾ÑÐºÐ¾Ð½Ð¾Ð¼Ð¸ÑÐµÑÐºÐ¸Ð¼Ð¸ Ð¸ Ð¼Ð¸ÐºÑÐ¾ÑÐºÐ¾Ð½Ð¾Ð¼Ð¸ÑÐµÑÐºÐ¸Ð¼Ð¸ Ð²Ð»Ð¸ÑÐ½Ð¸ÑÐ¼Ð¸. ÐÑÐ¾Ð¼Ðµ ÑÐ¾Ð³Ð¾, Ð²ÑÑÐ²Ð»ÐµÐ½Ð¾ Ð²Ð»Ð¸ÑÐ½Ð¸Ðµ Ð²ÑÐ¿ÑÑÐºÐ¸ ÐºÐ¾ÑÐ¾Ð½Ð°Ð²Ð¸ÑÑÑÐ½Ð¾Ð¹ Ð¸Ð½ÑÐµÐºÑÐ¸Ð¸ Ð½Ð° ÑÐ¾Ð½Ð´Ð¾Ð²ÑÐµ Ð¸Ð½Ð´ÐµÐºÑÑ, Ð²ÑÐ»ÐµÐ´ÑÑÐ²Ð¸Ðµ ÑÐµÐ³Ð¾ Ð°Ð½Ð°Ð»Ð¸Ð· ÑÐ°Ð·Ð´ÐµÐ»ÐµÐ½ Ð½Ð° Ð´Ð²Ð° Ð¿ÐµÑÐ¸Ð¾Ð´Ð°: Ð´Ð¾ Ð¿Ð°Ð½Ð´ÐµÐ¼Ð¸Ð¸ COVID-19 Ð¸ Ð¿ÐµÑÐ¸Ð¾Ð´ Ð¿Ð¾ÑÐ»Ðµ COVID-19. ÐÐ° Ð¾ÑÐ½Ð¾Ð²Ðµ Ð´Ð°Ð½Ð½ÑÑ, ÐºÐ¾ÑÐ¾ÑÑÐµ Ð¿ÑÐµÐ´ÑÑÐ°Ð²Ð»ÐµÐ½Ñ Ð² Ð¿ÑÐ¸Ð»Ð¾Ð¶ÐµÐ½Ð¸Ð¸ Ð Ð¸ Ð¿ÑÐ¸Ð»Ð¾Ð¶ÐµÐ½Ð¸Ð¸ Ð Ð±ÑÐ» Ð¿ÑÐ¾Ð²ÐµÐ´ÐµÐ½ Ð°Ð½Ð°Ð»Ð¸Ð· Ð¸Ð¼Ð¿ÑÐ»ÑÑÐ½Ð¾Ð³Ð¾ Ð¾ÑÐºÐ»Ð¸ÐºÐ°, Ð² ÑÐ¾Ð´Ðµ ÐºÐ¾ÑÐ¾ÑÐ¾Ð³Ð¾ Ð²ÑÑÐ²Ð»ÐµÐ½Ð¾ Ð²Ð»Ð¸ÑÐ½Ð¸Ðµ Ð¸Ð·Ð¼ÐµÐ½ÐµÐ½Ð¸Ñ Ð¸Ð¼Ð¿ÑÐ»ÑÑÐ¾Ð² ÑÐµÐ½Ñ Ð½ÐµÑÑÐ¸ Ð¼Ð°ÑÐºÐ¸ Brent Ð¸ Ð¸Ð½Ð´ÐµÐºÑÐ° DXY Ð½Ð° Ð Ð¢Ð¡ Ð½Ð° ÑÐ¾Ð½Ð´Ð¾Ð²ÑÐµ Ð¸Ð½Ð´ÐµÐºÑÑ. ÐÑÐ¾Ð²ÐµÐ´ÐµÐ½Ð¾ Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ðµ Ð¿Ð¾ Ð¼ÐµÑÐ¾Ð´Ð¾Ð»Ð¾Ð³Ð¸Ð¸, Ð¿ÑÐµÐ´ÑÑÐ¼Ð°ÑÑÐ¸Ð²Ð°ÑÑÐµÐ¹ Ð¿ÑÐ¸Ð¼ÐµÐ½ÐµÐ½Ð¸Ðµ Ð¼ÐµÑÐ¾Ð´Ð¾Ð² ÐºÐ¾ÑÑÐµÐ»ÑÑÐ¸Ð¾Ð½Ð½Ð¾Ð³Ð¾ Ð°Ð½Ð°Ð»Ð¸Ð·Ð°; Ð¾Ð¿ÑÐµÐ´ÐµÐ»ÐµÐ½Ð¸Ðµ ÑÑÐ°ÑÐ¸ÑÑÐ¸ÑÐµÑÐºÐ¸Ñ ÑÐ°ÑÐ°ÐºÑÐµÑÐ¸ÑÑÐ¸Ðº Ð²ÑÐµÐ¼ÐµÐ½Ð½ÑÑ ÑÑÐ´Ð¾Ð²; ÑÐµÑÑÐ¸ÑÐ¾Ð²Ð°Ð½Ð¸Ðµ Ð½Ð° Ð¿ÑÐ¸ÑÐ¸Ð½Ð½Ð¾ÑÑÑ ÐÑÐµÐ½Ð´Ð¶ÐµÑÐ°; Ð¿Ð¾ÑÑÑÐ¾ÐµÐ½Ð¸Ðµ Ð¼Ð¾Ð´ÐµÐ»ÐµÐ¹ VAR Ð¸ Ð°Ð½Ð°Ð»Ð¸Ð· ÑÑÐ½ÐºÑÐ¸Ð¹ Ð¸Ð¼Ð¿ÑÐ»ÑÑÐ½Ð¾Ð³Ð¾ Ð¾ÑÐºÐ»Ð¸ÐºÐ°. Ð ÑÐ¾Ð´Ðµ Ð°Ð½Ð°Ð»Ð¸Ð·Ð° Ð²ÑÑÐ²Ð»ÐµÐ½Ð¾, ÑÑÐ¾ ÑÐµÐ½Ð° Ð½ÐµÑÑÐ¸ Ð¼Ð°ÑÐºÐ¸ Brent Ð¸ Ð¸Ð½Ð´ÐµÐºÑ DXY Ð¾ÐºÐ°Ð·ÑÐ²Ð°ÑÑ Ð·Ð½Ð°ÑÐ¸ÑÐµÐ»ÑÐ½Ð¾Ðµ Ð²Ð»Ð¸ÑÐ½Ð¸Ðµ Ð½Ð° ÑÐ¾Ð½Ð´Ð¾Ð²ÑÐµ Ð¸Ð½Ð´ÐµÐºÑÑ. ÐÑÐµÐ´Ð¿Ð¾Ð»Ð°Ð³Ð°ÐµÑÑÑ, ÑÑÐ¾ Ð²ÑÐ²Ð¾Ð´Ñ Ð¿ÑÐµÐ´Ð¾ÑÑÐ°Ð²ÑÑ Ð¾Ð±Ð»Ð°ÑÑÐ¸ Ð´Ð»Ñ Ð±ÑÐ´ÑÑÐ¸Ñ Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ð¹ Ð¿Ð¾ Ð¼ÐµÑÐµ ÑÐ°Ð·Ð²Ð¸ÑÐ¸Ñ ÑÐ¾Ð±ÑÑÐ¸Ð¹ Ð¿Ð¾ÑÐ»Ðµ Ð¿Ð°Ð½Ð´ÐµÐ¼Ð¸Ð¸.
description: The aim of the master's thesis is to analyze the impact of impulses of brent crude oil futures and the dxy index on the RTS, C20, Nikkei225, S &amp; P500 and DAX indices in the period before the COVID-19 pandemic and the period after COVID-19 - from March 11, 2020 to 29 May 2020.The object of research is stock indices. The subject of the research is changes in stock indices. This paper discusses the financial markets and their characteristics. The analysis of market effects and their impact on stock indices is carried out. As a result, it was noted that changes in the stock market are associated with macroeconomic and microeconomic influences. In addition, the impact of the outbreak of coronavirus infection on stock indices was revealed, as a result of which the analysis was divided into two periods: before the COVID-19 pandemic, which varies from January 4, 2019 to March 10, 2020, and the period after COVID-19 - from 11 March 2020 to May 29, 2020. Based on the data presented in Appendix A, Appendix B and Appendix C, an impulse response analysis was carried out, during which the influence of changes in the price impulses of Brent crude oil and the DXY index on the RTS on stock indices was revealed. A study was carried out on a methodology that provides for the use of methods of correlation analysis; determination of statistical characteristics of time series; testing for Grenger causality; construction of VAR models and analysis of impulse response functions. The analysis revealed that the price of Brent crude oil and the DXY index have a significant impact on stock indices. The findings are expected to provide areas for future research as events unfold after the pandemic.