Measuring the Impact of Financial Crisis on International Markets: An Application of the Financial Stress Index

2011 ◽  
Vol 3 (1) ◽  
Author(s):  
Apostolos G. Christopoulos ◽  
John Mylonakis ◽  
Christos Koromilas
Keyword(s):  
Financial Crisis ◽  
Financial Stress ◽  
International Markets ◽  
Stress Index ◽  
Financial Stress Index ◽  
The Impact

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).

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 China’s Financial Market Risk: Macroeconomic Response and Crisis Warning

2018 ◽  
Vol 10 (6) ◽  
pp. 12
Author(s):  
Sha Zhu
Keyword(s):  
Financial Market ◽  
Financial Risk ◽  
Negative Impact ◽  
Risk Measure ◽  
Impulse Response Function ◽  
Financial Stress ◽  
Stress Index ◽  
Macroeconomic Variables ◽  
Financial Stress Index ◽  
The Impact

Financial stress index (FSI), as a financial risk measure, can timely reflect the risk of China’s financial market with early warning function and forecasting ability. First of all, referring to the IMF index system, this paper constructs the pressure indicators of China’s financial market, and then establishes the impulse response function of VAR (2,2) model with the main macroeconomic variables to analyze the impact of the FSI index on China’s macroeconomic. The research conclusion shows that the financial stress index constructed in this paper has a lasting negative impact on China’s major macroeconomic variables. At the same time, FSI can objectively and timely reflect the crisis warning of financial risk, and can also well correspond to the real economic and financial events that have happened already.

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.

scholarly journals Analysis of the Literature of Financial Stress Index and Proposed Model for Pakistan.

2021 ◽  
Vol 10 (2) ◽  
pp. 109-122
Author(s):  
KINZA YOUSFANI ◽  
ABDUL SUBHAN KAZI ◽  
KARIM BUX SHAH SYED
Keyword(s):  
Economic Activity ◽  
Financial Stress ◽  
Past Research ◽  
Stress Index ◽  
Economic Policies ◽  
Economic Activities ◽  
Developed Markets ◽  
Proposed Model ◽  
Financial Stress Index ◽  
The Impact

In the recent past, research in developed markets has aimed at developing various indices that can be applied to apprehend the impact that financial stress can have on a country’s economic activity. This article reviews the literature on financial stress and its impact on economic activities. It further presents a proposed methodology for constructing financial stress index and its implications for macroeconomic performance in relation to Pakistan. A review of the literature was conducted discussing (a) the formulation of the financial stress index and (b) its impact on the country’s economic activity indicators. The analysis of the literature made it possible to identify the current themes and remaining gaps in the literature on the financial stress index. It is concluded that FSI is beneficial for monitoring and evaluating the usefulness of government economic policies in crisis as well as normal times. Moreover, the index grabs the stresses in the form of financial stress, which is not only from various market sectors but also from their connection through a contagious effect internationally. Therefore, the paper concludes that the FSI could be established and used as an effective tool to measure and monitor financial stress level and its impact on various economic activity indicators in Pakistan. Keywords: Financial Stress Index, GDP, Industrial Production, Foreign Trade, PCA, Emerging Markets, Pakistan.

The Cleveland Financial Stress Index

2012 ◽  
Author(s):  
Timothy Bianco ◽  
Mikhail V. Oet ◽  
Stephen J. Ong
Keyword(s):  
Financial Stress ◽  
Stress Index ◽  
Financial Stress Index

TOURISM INDUSTRY STRESS INDEX AND ITS RELATIONSHIP TO THE FINANCIAL STRESS INDEX

2021 ◽  
Vol 27 (2) ◽  
pp. 363-383
Author(s):  
Marina Malkina ◽  
Anton Ovcharov
Keyword(s):  
Interaction Design ◽  
Moving Average ◽  
Financial Stress ◽  
Principal Component ◽  
Tourism Industry ◽  
Real Effective Exchange Rate ◽  
Stress Index ◽  
Marginal Effect ◽  
Causality Test ◽  
Financial Stress Index

Purpose – development of the Tourism Industry Stress Index (TSI) and the Financial Stress Index (FSI) followed by an examination of their interaction. Design – The TSI, which aggregates tourist arrivals, overnight stays and net occupancy, was tested on data for Finland, Italy, Germany and Spain between 1993 and 2020. The FSI was composed of the S&P500 index, Brent oil futures, and the real effective exchange rate of the euro. Methodology / Approach – Both stress indices were calculated as the difference between the moving standard deviation and the moving average of the monthly growth rate of the selected indicators. We aggregated them by applying two alternative techniques: arithmetic mean and nonnormalized principal component analysis. The Granger causality test was utilised to assess the dependence between the indices. Findings – We identified periods of increased volatility in the European tourism market and described its connection to financial crises. The causality test of the FSI-TSI model showed that financial turmoil led to increased tourism market stress with an average lag of three months and a marginal effect of 0.2. Originality of the research – We recommend the Financial Stress Index as a predictor of the Tourism Industry Stress Index in the business cycle.

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