Disentangling Diverse Measures: A Survey of Financial Stress Indexes [PDF]
Review, 2012 The recent financial crisis helped emphasize the need for measures of financial conditions. In the wake of the crisis, several researchers and institutions—both private sector and central bank—developed measures of financial stress. These measures are intended to capture, among other things, the liquidity in financial markets and potentially forecast ...
Kevin L. Kliesen +2 more
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Calculation of the Financial Stress Index and its Impact Analysis on Iran's Economic Growth; Application of the Markov-Switching Autoregressive Model [PDF]
تحقیقات مالی, 2019 Objective: Financial markets, by reducing transaction costs and information asymmetries in the economy, will increase returns, capital accumulation and economic growth.
Maryam Heidarian +2 more
doaj +1 more source
A sentiment-based risk indicator for the Mexican financial sector
Latin American Journal of Central Banking, 2021 We apply sentiment analysis to Twitter messages in Spanish to build a sentiment risk index for the financial sector in Mexico. We classify a sample of tweets from 2006-2019 to identify messages in response to a positive or negative shock to the Mexican ...
Raul Fernandez +2 more
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Measuring the Behavioural Component of the S&P 500 and its Relationship to Financial Stress and Aggregated Earnings Surprises [PDF]
, 2018 Scholars in management and economics have shown increasing interest in isolating the behavioural dimension of market evolution. Indeed, by improving forecast accuracy and precision, this exercise would certainly help firms to anticipate economic ...
Andreou +59 more
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A Financial Stress Index for the United Kingdom [PDF]
SSRN Electronic Journal, 2017 In this paper we develop an index to monitor the intensity of financial stress in the UK over a period of 45 years. By aggregating various market-based indicators of financial stress from six major markets, we allow each indicator to be assessed in terms of its systemic importance.
Somnath Chatterjee +3 more
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Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index [PDF]
, 2018 The Eurozone crisis is one the most important economic event in recent years. At its peak, the effects of the crisis have put at serious risk the outcome of the euro project, exposing the inherent weaknesses and vulnerabilities of the monetary union.
MacDonald, Ronald +2 more
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Financial Stress Index: Identification of Systemic Risk Conditions [PDF]
SSRN Electronic Journal, 2011 This paper describes a financial stress index for the United States, the CFSI, which provides a continuous signal of financial stress and broad coverage of the areas that could indicate it. The index is based on daily public market data collected from four sectors of the financial markets – credit markets, foreign exchange markets, equity markets, and ...
Stephen J. Ong +4 more
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Overleveraging, financial fragility and the banking-macro link : theory and empirical evidence [PDF]
, 2014 We investigate consequences of overleveraging and financial-sector stress on real economic activities. When banks become vulnerable, due to high leveraging, and there is a strong feedback between the real and the financial sector, a regime of high ...
Mittnik, Stefan, Semmler, Willi
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An Index of Financial Market Stress for the United Kingdom [PDF]
SSRN Electronic Journal, 2014 We construct and develop a new financial market stress index using twenty-three headline U.K. financial data series. A logistic regression framework provides a parsimonious representation of financial market stress in the U.K. based on the market dynamics around the time of Bank of England crisis-alleviating economic interventions.
Corbet, Shaen, Twomey, Cian
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The financial stress index: identification of systemic risk conditions [PDF]
Working paper (Federal Reserve Bank of Cleveland), 2011 This paper develops a financial stress index for the United States, the Cleveland Financial Stress Index (CFSI), which provides a continuous signal of financial stress and broad coverage of the areas that could indicate it. The index is based on daily public-market data collected from four sectors of the fi nancial markets—the credit, foreign exchange,
Mikhail V. Oet +4 more
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