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Financial Stress Indices
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Book Synopsis Financial Stress Indices by : Manfred Kremer
Download or read book Financial Stress Indices written by Manfred Kremer and published by . This book was released on 2016 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial stress indices quantify the current stress level in the financial system as a whole or major parts of it by compressing a number of indicators measuring stress in individual market segments into a composite indicator. Despite the fact that composite indicators have been used for other purposes for a long time (e.g., monetary and financial conditions indices), financial stress indices have become a popular tool only in recent years, spurred by the financial crisis. The present paper is a slightly revised version of what has been published as the editorial of a special issue of The Spanish Review of Financial Economics. The special issue is dedicated to three new variants of a financial stress index for the Spanish and the Italian markets, respectively. Before briefly summarizing the three papers introducing these new indicators, I first present and discuss the ECB's financial stress index which I developed together with two colleagues (D. Holló, M. Kremer and M. Lo Duca (2012), CISS - A Composite Indicator of Systemic Stress in the Financial System, ECB Working Paper No. 1426, March). This may help better understand some features of the three indices since all of them build, at least to some extent, on our indicator concept. I also show for the first time a time series of a CISS for the US financial system that starts in January 1973.
Book Synopsis Financial Stress Indices and Financial Crises by :
Download or read book Financial Stress Indices and Financial Crises written by and published by . This book was released on 2015 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Stress and Economic Activity: Evidence from a New Worldwide Index by : Hites Ahir
Download or read book Financial Stress and Economic Activity: Evidence from a New Worldwide Index written by Hites Ahir and published by International Monetary Fund. This book was released on 2023-10-20 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses text analysis to construct a continuous financial stress index (FSI) for 110 countries over each quarter during the period 1967-2018. It relies on a computer algorithm along with human expert oversight and is thus easy to update. The new indicator has a larger country and time coverage and higher frequency than similar measures focusing on advanced economies. And it complements existing binary chronologies in that it can assess the severity of financial crises. We use the indicator to assess the impact of financial stress on the economy using both country- and firm-level data. Our main findings are fivefold: i) consistent with existing literature, we show an economically significant and persistent relationship between financial stress and output; ii) the effect is larger in emerging markets and developing economies and (iii) for higher levels of financial stress; iv) we deal with simultaneous causality by constructing a novel instrument—financial stress originating from other countries—using information from the text analysis, and show that, while there is clear evidence that financial stress harms economic activities, OLS estimates tend to overestimate the magnitude of this effect; (iv) we confirm the presence of an exogenous effect of financial stress through a difference-in-differences exercise and show that effects are larger for firms that are more financially constrained and less profitable.
Book Synopsis The Cleveland Financial Stress Index by : Timothy Bianco
Download or read book The Cleveland Financial Stress Index written by Timothy Bianco and published by . This book was released on 2013 with total page 4 pages. Available in PDF, EPUB and Kindle. Book excerpt: To promote stability in a dynamic financial system, supervisors must monitor the system for risks at all times. The Cleveland Fed has developed an index of financial stress, the CFSI, which is designed to track distress in the financial system as it is building. The CFSI will help financial system supervisors monitor and understand the state of financial markets on a real-time basis, and take appropriate regulatory or supervisory action as necessary.
Book Synopsis Financial Stress Indices and Financial Crises by :
Download or read book Financial Stress Indices and Financial Crises written by and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Econometrics for Financial Applications by : Ly H. Anh
Download or read book Econometrics for Financial Applications written by Ly H. Anh and published by Springer. This book was released on 2017-12-18 with total page 1089 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book addresses both theoretical developments in and practical applications of econometric techniques to finance-related problems. It includes selected edited outcomes of the International Econometric Conference of Vietnam (ECONVN2018), held at Banking University, Ho Chi Minh City, Vietnam on January 15-16, 2018. Econometrics is a branch of economics that uses mathematical (especially statistical) methods to analyze economic systems, to forecast economic and financial dynamics, and to develop strategies for achieving desirable economic performance. An extremely important part of economics is finances: a financial crisis can bring the whole economy to a standstill and, vice versa, a smart financial policy can dramatically boost economic development. It is therefore crucial to be able to apply mathematical techniques of econometrics to financial problems. Such applications are a growing field, with many interesting results – and an even larger number of challenges and open problems.
Book Synopsis Financial Stress Index by : Mikhail V. Oet
Download or read book Financial Stress Index written by Mikhail V. Oet and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Measuring Financial Stress by : Jarkko Huotari
Download or read book Measuring Financial Stress written by Jarkko Huotari and published by . This book was released on 2015 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The OFR Financial Stress Index by : Phillip Monin
Download or read book The OFR Financial Stress Index written by Phillip Monin and published by . This book was released on 2017 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce a financial stress index developed by the Office of Financial Research (OFR FSI) and detail its purpose, construction, interpretation, and use in financial market monitoring. Using a logistic regression framework and dates of government intervention in the financial system as a proxy for stress events, we find that the OFR FSI performs well in identifying systemic financial stress. In addition, we find that the OFR FSI leads the Chicago Fed National Activity Index in a Granger causality analysis, suggesting that increases in financial stress help predict decreases in economic activity.
Book Synopsis A Financial Stress Index for the United Kingdom by : Somnath Chatterjee
Download or read book A Financial Stress Index for the United Kingdom written by Somnath Chatterjee and published by . This book was released on 2017 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. This enables the index to capture the interconnectedness of financial markets. The index successfully captures three episodes of heightened stress in UK financial history. We also attempt to determine how much a financial shock to the UK economy is amplified in a period of stress vis-à-vis a tranquil period. It involves exploring the dynamic relationship of the index with the UK real economy by two specifications of threshold vector auto-regression models. We find empirical evidence for the existence of feedback loops in the shock propagation between the real and the financial sector in the United Kingdom.
Book Synopsis Dynamics of Financial Stress and Economic Performance by : Ramesh Babu Thimmaraya
Download or read book Dynamics of Financial Stress and Economic Performance written by Ramesh Babu Thimmaraya and published by Emerald Group Publishing. This book was released on 2018-09-28 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book primarily focuses on the dynamic relationship between the financial and the economic systems of twelve major economies in the world.
Book Synopsis The Nonlinear Interaction Between Monetary Policy and Financial Stress by : Martín Saldías
Download or read book The Nonlinear Interaction Between Monetary Policy and Financial Stress written by Martín Saldías and published by International Monetary Fund. This book was released on 2017-08-04 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the nonlinear relationship between monetary policy and financial stress and its effects on the transmission of shocks to output. Results from a Bayesian Threshold Vector Autoregression (TVAR) model show that the effects of monetary policy shocks on output growth are stronger during normal times than during times of financial stress. Monetary policy shocks are effective to ease stressed financial conditions, but have limited ability to fully contain the buildup of vulnerabilities. These results have important policy implications for central banks’ countercyclical policies under different financial conditions and for “lean against the wind” policies to address financial vulnerabilities.
Book Synopsis Weighting Methods for Financial Stress Indices - Comparison and Implications for Risk Management by : Dieter Gramlich
Download or read book Weighting Methods for Financial Stress Indices - Comparison and Implications for Risk Management written by Dieter Gramlich and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial stress indices (FSIs) involve the weighting and compilation of different sub-indices and indicators into an overall measure of systemic stress. Despite the importance of weighting with regard to the relevance of single indices or indicators (structural effect), the behavior of the overall index over time (dynamic effect) and further consequences from applications of the FSI, the effects of weighting have rarely been investigated in a systematic way. Therefore, this study focuses on the effects that different weighting methods have on the construction and interpretation of FSIs. Six weighting approaches are compared on a conceptual and empirical basis. Based on the aggregation of time series for different sub-indices and indicators from 1991 to 2011, it is shown that weighting impacts the composition and the behavior of an FSI. Strategies for risk management and supervision based on FSIs have to take these effects into account and choose weighting methods accordingly.
Book Synopsis Using Policy Intervention to Identify Financial Stress by : Mark A. Carlson
Download or read book Using Policy Intervention to Identify Financial Stress written by Mark A. Carlson and published by . This book was released on 2012 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Systemic Risk from Global Financial Derivatives by : Ms.Sheri M. Markose
Download or read book Systemic Risk from Global Financial Derivatives written by Ms.Sheri M. Markose and published by International Monetary Fund. This book was released on 2012-11-30 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial network analysis is used to provide firm level bottom-up holistic visualizations of interconnections of financial obligations in global OTC derivatives markets. This helps to identify Systemically Important Financial Intermediaries (SIFIs), analyse the nature of contagion propagation, and also monitor and design ways of increasing robustness in the network. Based on 2009 FDIC and individually collected firm level data covering gross notional, gross positive (negative) fair value and the netted derivatives assets and liabilities for 202 financial firms which includes 20 SIFIs, the bilateral flows are empirically calibrated to reflect data-based constraints. This produces a tiered network with a distinct highly clustered central core of 12 SIFIs that account for 78 percent of all bilateral exposures and a large number of financial intermediaries (FIs) on the periphery. The topology of the network results in the “Too- Interconnected-To-Fail” (TITF) phenomenon in that the failure of any member of the central tier will bring down other members with the contagion coming to an abrupt end when the ‘super-spreaders’ have demised. As these SIFIs account for the bulk of capital in the system, ipso facto no bank among the top tier can be allowed to fail, highlighting the untenable implicit socialized guarantees needed for these markets to operate at their current levels. Systemic risk costs of highly connected SIFIs nodes are not priced into their holding of capital or collateral. An eigenvector centrality based ‘super-spreader’ tax has been designed and tested for its capacity to reduce the potential socialized losses from failure of SIFIs.
Book Synopsis A Financial Stress Index for a Small Open Economy by : Pedro Gomis-Porqueras
Download or read book A Financial Stress Index for a Small Open Economy written by Pedro Gomis-Porqueras and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Leading Indicators of Financial Stress by :
Download or read book Leading Indicators of Financial Stress written by and published by . This book was released on 2015 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
