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The Ofr Financial Stress Index
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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 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 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 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 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 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 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 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 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 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 Soundness Indicators for Financial Sector Stability in Viet Nam by : Asian Development Bank
Download or read book Financial Soundness Indicators for Financial Sector Stability in Viet Nam written by Asian Development Bank and published by Asian Development Bank. This book was released on 2015-09-01 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial soundness indicators (FSIs) are methodological tools that help quantify and qualify the soundness and vulnerabilities of financial systems according to five areas of interests: capital adequacy, asset quality, earnings, liquidity, and sensitivity to market risk. With support from the Investment Climate Facilitation Fund under the Regional Cooperation and Integration Financing Facility, this report describes the development of FSIs for Viet Nam and analyzes the stability and soundness of the Vietnamese banking system by using these indicators. The key challenges to comprehensively implementing reforms and convincingly addressing the root causes of the banking sector problems include (i) assessing banks' recapitalization needs, (ii) revising classification criteria to guide resolution options, (iii) recapitalization and restructuring that may include foreign partnerships, (iv) strengthening the Vietnam Asset Management Company, (v) developing additional options to deal with nonperforming loans, (vi) tightening supervision to ensure a sound lending practice, (vii) revamping the architecture and procedures for crisis management, and (viii) strengthening financial safety nets during the reform process.
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:
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 The European Financial Market Stress Index by : Shaen Corbet
Download or read book The European Financial Market Stress Index written by Shaen Corbet and published by . This book was released on 2014 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research constructs and develops a financial stress index based on European financial markets. The integration of numerous sovereign states has created difficulty identifying stress in any one single financial component, but incorporating twenty-three headline European stress indicators across equities, bonds and currencies, in terms of both spreads and levels offer substantial explanatory benefits. The incorporation of a logistical framework specifically analysing the levels, volatility and co-movement of the included standardised series enables the creation of an index that adequately represents financial market stress in European. Using periods of pre-defined crisis in a logistic regression framework also aids the development of the index. The results provide evidence that the European-specific sovereign crises from 2010 to present, with particular emphasis on the mid-2011 period, have significantly over-shadowed any event that the financially-integrated Europe has previously experienced.
Book Synopsis Can You Map Global Financial Stability? by : Mr.Ken Miyajima
Download or read book Can You Map Global Financial Stability? written by Mr.Ken Miyajima and published by International Monetary Fund. This book was released on 2010-06-01 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Global Financial Stability Map was developed as a tool to interpret the risks and conditions that impact financial stability in a graphical manner. It complements other existing tools for assessing financial stability, and seeks to overcome some of the drawbacks of earlier approaches. This paper provides the motivation for the tool, a detailed discussion of its construction, including the choice of risk factors and conditions, a description of the underlying indicators, and a discussion on how the final assessment is determined. When applied to past events of financial instability, the Global Financial Stability Map performs reasonably well in signaling risks to stability, as well as in characterizing the depth of crisis episodes.
Book Synopsis The Transmission of Financial Stress from Advanced to Emerging Economies by : Irina Tytell
Download or read book The Transmission of Financial Stress from Advanced to Emerging Economies written by Irina Tytell and published by INTERNATIONAL MONETARY FUND. This book was released on 2009-06-01 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies how financial stress is transmitted from advanced to emerging economies, using a new financial stress index for emerging economies. An episode of financial stress is defined as a period when the financial system's ability to intermediate may be impaired. Previous financial crises in advanced economies passed through strongly and rapidly to emerging economies. In line with this pattern, the unprecedented spike in financial stress in advanced economies elevated financial stress across emerging economies above levels seen during the Asian crisis, but with significant cross-country variation. The extent of pass-through of financial stress is related to the depth of financial linkages between advanced and emerging economies. The paper finds that higher current account and fiscal balances do little to insulate emerging economies from the transmission of financial stress in advanced economies. However, they may help dampen the impact on the real sector of emerging economies and help reestablish financial stability and foreign capital inflows once financial stress subsides.
