№ 10/2018

Fìnansi Ukr. 2018 (10): 54–69https://doi.org/10.33763/finukr2018.10.054

FINANCIAL AND ECONOMIC REGULATION

YASTREMSKYI Olexandr ¹

¹SESE “The Academy of Financial Management”
OrcID ID : https://orcid.org/0000-0001-9900-3612

Fiscal stress test: genesis, classification, application, development

The paper analyses the relationship among stress tests and the sections of economic theory (positive, normative, utility and expected utility theories, partial and general equilibria, risk theories) and methods of economic analysis (optimization, applied general equilibrium, sensitivity, statistics, forecasting, expert systems, schemes input-output , simulation). One point of the paper is relationship between brilliant improvement of Ukrainian economist Eugen Slutsky in consumer behavior analysis and modern techniques of stress test. In particular, Eugen Slutsky was one of the originators of comparative economic static, sensitive analysis, behavioral economics. The latter ones are components of contemporary economic analysis, including fiscal stress tests. The methods of identification of forecast errors are proposed, in parallel with the forecast. Methods of stress analysis based on pair ‘forecast-errors’ are developed. The methods are applied to simple methods of forecasting GDP and the total output. The classification of existing stress tests has been carried out, main directions of development have been proposed. Among them are accounting and behavioral stress tests. Post optimality analysis of optimization software was proposed as a tool of sensitivity and scenario analysis. Improvement of the Nobel Prize laureate in Economics Leonid Kantorovich in development of optimization theory, linear programming, including post optimality analysis, is highlighted. Fiscal stress test of a refinery, a large taxpayer, is proposed. Result and Sensitivity reports of optimization soft as tool of fiscal stress test are proposed. Methods of analysis of transmission of shock (stress) in their outcomes are offered. The problem of transition of the method of stress tests from positive to normative analysis is posed.

Keywords:crash test, shock transmission (stress), comparative economic statics, post-optimal analysis, forecasting, directed stress test, scenario analysis

JEL: C21, C43, E61, F01, O10, P30

Yastremskyi O. . Fiscal stress test: genesis, classification, application, development / O. Yastremskyi // Фінанси України. - 2018. - № 10. - C. 54-69.

Article original in Ukrainian (pp. 54 - 69)

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