금융불안지수 개발과 금융불안 요인 변화 분석 (Constructing a Financial Stress Index and Changes of Financial Stress Determinants after the Global Financial Crisis)

2018 ◽  
Author(s):  
Young SIk Jeong ◽  
Hyelin Choi ◽  
Da Young Yang ◽  
Eunjung Kang ◽  
Deokki Ko
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Financial Stress ◽  
Stress Index ◽  
Financial Stress Index ◽  
The Global Financial Crisis

Measuring the Impact of Financial Crisis

2016 ◽  
pp. 274-283
Author(s):  
İsmail Yıldırım
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Financial Crisis ◽  
Global Financial Crisis ◽  
Financial Stress ◽  
Stress Index ◽  
Destructive Effect ◽  
Monthly Data ◽  
Financial Stress Index ◽  
The Impact

Crisis in 2001 and global financial crisis in 2008 effect Turk economy in a lot of ways. Financial crisis creates destructive effect especially on increasing market economies. It is not so easy to watch occurring of this financial crisis and determining of its expanding. First of all determining of crisis terms are needed to predict of financial crisis. In this part, a financial stress index is composed by using TL interest rate and monthly data of global gross reserves belongs to $/TL exchange rate between 1997:01-2014:12 terms for Turkey. Months when financial stress index raised to top level for Turkey and financial crisis are observed on, are found as February(2001) and November (2008).

DYNAMIC CONNECTEDNESS OF FINANCIAL STRESS ACROSS ADVANCED AND EMERGING ECONOMIES: EVIDENCE FROM TIME AND FREQUENCY DOMAINS

2021 ◽  
pp. 1-40
Author(s):  
TRINH QUANG LONG ◽  
LAN HOANG NGUYEN ◽  
PETER J. MORGAN
Keyword(s):  
Emerging Economies ◽  
Global Financial Crisis ◽  
Financial Stress ◽  
Stress Index ◽  
Policy Uncertainty ◽  
Volatility Spillovers ◽  
Advanced Economies ◽  
Financial Stress Index ◽  
Exchange Rate Markets ◽  
The Global Financial Crisis

This study analyzes the dynamic connectedness (i.e., spillovers and spillbacks) of financial stress across advanced and emerging economies. As proxy for financial stress, we reconstruct the financial stress index (FSI) for 16 advanced economies and 15 emerging economies from January 1997 to August 2020. The constructed FSIs reflect combined stress level in banking sectors, equity markets, capital markets and exchange rate markets. Using frameworks proposed by Diebold and Yilmaz (Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57–66) and Baruník and Křehlík (Measuring the frequency dynamics of financial connectedness and systemic risk. Journal of Financial Econometrics, 16(2), 271–296), we find that there is strong connectedness of financial stress across economies. Moreover, the connectedness of the financial stress is stronger after the global financial crisis and during the COVID-19 pandemic. Although the spillover of shocks is strongest in the short-term horizon, the spillovers in the longer-term horizons are not trivial. Our results also show that the US is the largest shock transmitter as well as one of the largest shock receivers. Our results also suggest that shocks originating in advanced economies have strong effects on other economies, but shocks originating in emerging economies also play an increasing role. Global factors such as global economic policy uncertainty and geopolitical risks influence the magnitude of the spillover of financial stress.

scholarly journals The Spillover and Transmission of Chinese Financial Markets Risk

2018 ◽  
Vol 11 (8) ◽  
pp. 66
Author(s):  
Sha Zhu
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Financial Markets ◽  
Financial Market ◽  
Spillover Effect ◽  
Financial Stress ◽  
Stress Index ◽  
2008 Financial Crisis ◽  
The Us ◽  
Financial Stress Index

After the 2008 financial crisis, the whole world financial markets became more fluctuates, the same to China also. It is necessary to pay great attention to high volatility problem in Chinese market, and also the uncertainty problem, risk accumulation and spillover effect come along with it. This paper calculates stock market return and builds financial stress index to explore the risk spillover effect. Empirical results show that the Chinese financial market have higher volatility than other countries. The Chinese stock market had higher dynamic market co-movement with international financial markets after 2008 financial crisis. What’s more, this article also finds the financial risk spreads between China and US. When the US financial stress index increases, China's financial stress index experiences a larger increase. However, after the change in China's financial stress index, the US financial stress index has no obvious trend of change. So we should pay more attention to periods of Chinese financial market risk and its spillover.

scholarly journals A Financial Stress Index for Ukraine

2017 ◽  
pp. 5-13 ◽  
Author(s):  
Lesia Tyshchenko ◽  
Atilla Csajbok
Keyword(s):  
Financial Crisis ◽  
Foreign Exchange ◽  
Quantitative Measurement ◽  
Foreign Exchange Market ◽  
Banking Sector ◽  
Financial Stress ◽  
Stress Index ◽  
Exchange Market ◽  
The Past ◽  
Financial Stress Index

In this paper, we develop a daily Financial Stress Index (FSI) for the comprehensive quantitative measurement of the degree of stress in Ukraine’s financial system. We use 14 individual indicators grouped into four sub-indices – the banking sector, corporate debt, government debt, and the foreign exchange market – to construct the FSI. The index measures the level of stress and vulnerability of the financial sector and enables to compare this level at current moment with its dynamic in the past. The FSI can signal the start of a financial crisis and can be used to assess the effectiveness of anti-crisis measures.

scholarly journals Financial Stress Index and Economic Activity in South Africa: New Evidence

Economies ◽  
2020 ◽  
Vol 8 (4) ◽  
pp. 110
Author(s):  
Kehinde Damilola Ilesanmi ◽  
Devi Datt Tewari
Keyword(s):  
Global Financial Crisis ◽  
Negative Impact ◽  
Financial System ◽  
Financial Stress ◽  
Principal Component ◽  
Stress Index ◽  
Real Economy ◽  
Stress Indicator ◽  
Financial Stress Index ◽  
The Impact

The importance of a sound and stable financial system and by extension economic stability was brought to the fore by the global financial crisis (GFC). The economic and social costs of the GFC have renewed the commitment of stakeholders in the financial sector including central banks to develop instruments and methodologies that will be useful in monitoring financial stress within the financial system and the real economy. This study contributes to the growing literature by developing a financial stress indicator for the South African financial market. The financial stress indicator (FSI) is a single aggregate indicator that is constructed to reflect the systemic nature of financial instability and also to measure the vulnerability of the financial system to both internal and external shocks. Using the principal component analysis (PCA), the results show that financial stress can be identified by the financial stress indicator. Furthermore, using a recursive Vector Autoregression (VAR) model to estimate the impact of financial stress on output and investment, the result shows that financial stress has a negative impact on economic growth and investment, though not immediately. FSI is very useful for gauging the effectiveness of government measures to mitigate the impact of financial stress. Concerted effort to stimulate investment and domestic production by relevant stakeholders is necessary to mitigate the impact of financial stress. This will go a long way to alleviating the impact of the financial stress on industrial production, employment and the economy at large.

On the formation of a New Paradigm of fiscal Policy

2013 ◽  
pp. 152-158 ◽  
Author(s):  
V. Senchagov
Keyword(s):  
Public Finance ◽  
Fiscal Policy ◽  
Financial Crisis ◽  
Global Financial Crisis ◽  
Domestic Demand ◽  
Real Economy ◽  
New Paradigm ◽  
Monetary Aggregate ◽  
The Past ◽  
The Global Financial Crisis

Due to Russia’s exit from the global financial crisis, the fiscal policy of withdrawing windfall spending has exhausted its potential. It is important to refocus public finance to the real economy and the expansion of domestic demand. For this goal there is sufficient, but not realized financial potential. The increase in fiscal spending in these areas is unlikely to lead to higher inflation, given its actual trend in the past decade relative to M2 monetary aggregate, but will directly affect the investment component of many underdeveloped sectors, as well as the volume of domestic production and consumer demand.

ASPEK ETIK DAN SISTEMIK DALAM EKONOMI DAN BISNIS ISLAM

ALQALAM ◽  
2014 ◽  
Vol 31 (1) ◽  
pp. 187
Author(s):  
Budi Harsanto
Keyword(s):  
Financial Crisis ◽  
Business Ethics ◽  
Moral Hazard ◽  
Global Financial Crisis ◽  
Financial Institution ◽  
Research Question ◽  
Academic Journals ◽  
Lehman Brothers ◽  
The World ◽  
The Global Financial Crisis

The fall of Enron, Lehman Brothers and other major financial institution in the world make researchers conduct various studies about crisis. The research question in this study is, from Islamic economics and business standpoint, why the global financial crisis can happen repeatedly. The purpose is to contribute ideas regarding Islamic viewpoint linked with the global financial crisis. The methodology used is a theoretical-reflective to various article published in academic journals and other intellectual resources with relevant themes. There are lots of analyses on the causes of the crisis. For discussion purposes, the causes divide into two big parts namely ethics and systemic. Ethics contributed to the crisis by greed and moral hazard as a theme that almost always arises in the study of the global financial crisis. Systemic means that the crisis can only be overcome with a major restructuring of the system. Islamic perspective on these two aspect is diametrically different. At ethics side, there is exist direction to obtain blessing in economics and business activities. At systemic side, there is rule of halal and haram and a set of mechanism of economics system such as the concept of ownership that will early prevent the seeds of crisis. Keywords: Islamic economics and business, business ethics, financial crisis 

Mobilising resiliency in times of economic hardship: Emerging themes in migrant worker remittance payments

2014 ◽  
Vol 7 (2) ◽  
pp. 159-167
Author(s):  
Kevin Garlan
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Migrant Worker ◽  
Economic Hardship ◽  
Priority Areas ◽  
Mobile Payments ◽  
Payment Methods ◽  
The Future ◽  
Emerging Themes ◽  
The Global Financial Crisis

This paper analyses the nexus of the global financial crisis and the remittance markets of Mexico and India, along with introducing new and emerging payment technologies that will help facilitate the growth of remittances worldwide. Overall resiliency is found in most markets but some are impacted differently by economic hardship. With that we also explore the area of emerging payment methods and how they can help nations weather this economic strife. Mobile payments are highlighted as one of the priority areas for the future of transferring monetary funds, and we assess their ability to further facilitate global remittances.

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