ecr-journalЭкономическая наука современной РоссииEconomics of Contemporary Russia1609-14422618-8996Regional Public Organization for Assistance to the Development of Institutions of the Department of Economics of the Russian Academy of Sciences10.33293/1609-1442-2019-2(85)-52-64ecr-journal-444Research ArticleАКТУАЛЬНЫЕ ПРОБЛЕМЫ ЭКОНОМИЧЕСКОЙ ТЕОРИИACTUAL PROBLEMS OF ECONOMICSИндекс политической неопределенности для российской экономики: текстовый анализDevelopment of Russian Political Uncertainty Index (RPUI): Textual AnalysisФедороваЕлена АнатольевнаFedorovaElena A.

д. э. н., профессор, профессор департамента корпоративных финансов и корпоративного управления

Москва

Moscow

ecolena@mail.ruМусиенкоСветлана ОлеговнаMusienkoSvetlana O.

ассистент департамента корпоративных финансов и корпоративного управления

Москва

Moscow

som090788@yandex.ruФедоровФедор ЮрьевичFedorovFedor Yu.

консультант 

Москва 

Moscow

fedorovfedor92@mail.ruФинансовый университет при Правительстве РФРоссияFinancial University under the Government of the Russian FederationRussian FederationООО «РедСис»РоссияRedSys Ltd.Russian Federation201917072019025264Copyright © Федорова Е.А., Мусиенко С.О., Федоров Ф.Ю., 20192019Федорова Е.А., Мусиенко С.О., Федоров Ф.Ю.Fedorova E.A., Musienko S.O., Fedorov F.Y.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://www.ecr-journal.ru/jour/article/view/444

В статье рассматривается характеристика политической неопределенности и ее влияние на фондовый рынок. На основании обзора подходов к определению политической неопределенности выявлены основные факторы, характеризующие данное явление. С помощью современной методологии текстового анализа был разработан авторский индекс политической неопределенности для России – аналогичный широко применяемому в подобных исследованиях индексу Economic Policy Uncertainty (EPU). Авторский индекс построен на анализе более широкой эмпирической базы, а также использовании более расширенного словаря. Было доказано, что авторский индекс более точно отражает политическую не определенность в России, чем индекс EPU. С помощью эконометрических методов на основании выборки ежедневных новостных сообщений за период 2013–2018 гг. Установлено наличие обратной зависимости между уровнем политической неопределенности и фондовым индексом, что соответствует базовым положениям экономической теории. Таким образом, разработанный индекс может применяться для разработки инвестиционной стратегии; он позволяет предсказывать изменение фондового индекса в зависимости от потока новостных сообщений. Чем выше уровень политической неопределенности, выраженный в большом числе новостных сообщений по теме санкций, волнений, политических изменений, тем ниже будет значение фондового индекса на российском фондовом рынке.

The article is devoted to the characteristics of political uncertainty and its influence on stock market. Intensification of political factors' pressure on financial market defined the necessity to set up an indicator that will assess the political uncertainty. For this purpose factors specifying the political uncertainty were found out on the basis of existing approaches – governor's personality, parliamentary elections, civil servants' change frequency, president's election, revolutions and political regime are among the factors.

There are several indicators developed on the basis of the defined factors that give an assessment of the political uncertainty level. One of the most popular – Index of Economic Policy Uncertainty (EPU index) – is constructed in terms of text analysis method using the estimation of media coverage. This index became the background of developing the author's index of political uncertainty for Russian companies, which differs by analysis of a wider empirical basis and applying an extended dictionary of economic terms. In order to deepen research two indexes directed to Russia Sanctions analysis were also constructed. The high level of the developed political uncertainty index accuracy for Russia was proved during its testing on the empirical basis for period from 2013 to 2018 in comparison with EPU index. An inverse relation between the level of political uncertainty and stock index was also determined using econometric methods. Therefore, a negative influence of political uncertainty on Russian stock market was proved.

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The authors declare that there are no conflicts of interest present.