IDEAS home Printed from https://ideas.repec.org/a/eco/journ1/2014-01-19.html
   My bibliography  Save this article

The European Financial Market Stress Index

Author

Listed:
  • Shaen Corbet

    (Department of Economics, Finance and Accounting, National University of Ireland, Maynooth, Ireland)

Abstract

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. Classification-JEL: G01; G15

Suggested Citation

  • Shaen Corbet, 2014. "The European Financial Market Stress Index," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 217-230.
  • Handle: RePEc:eco:journ1:2014-01-19
    as

    Download full text from publisher

    File URL: http://www.econjournals.com/index.php/ijefi/article/download/647/pdf
    Download Restriction: no

    File URL: http://www.econjournals.com/index.php/ijefi/article/download/647/pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Kaminsky, Graciela L. & Reinhart, Carmen M., 2002. "Financial markets in times of stress," Journal of Development Economics, Elsevier, vol. 69(2), pages 451-470, December.
    2. Mark Carlson & Kurt Lewis & William Nelson, 2014. "Using Policy Intervention To Identify Financial Stress," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(1), pages 59-72, January.
    3. Mark Illing & Ying Liu, 2003. "An Index of Financial Stress for Canada," Staff Working Papers 03-14, Bank of Canada.
    4. Dimitrios P. Louzis & Angelos T. Vouldis, 2013. "A financial systemic stress index for Greece," Working Papers 155, Bank of Greece.
    5. Kremer, Manfred & Lo Duca, Marco & Holló, Dániel, 2012. "CISS - a composite indicator of systemic stress in the financial system," Working Paper Series 1426, European Central Bank.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Shaen Corbet & Cian Twomey, 2014. "An index of financial market stress for the United Kingdom," Economics and Business Letters, Oviedo University Press, vol. 3(2), pages 127-133.
    2. repec:bla:afrdev:v:30:y:2018:i:3:p:264-277 is not listed on IDEAS
    3. repec:eee:finana:v:62:y:2019:i:c:p:182-199 is not listed on IDEAS
    4. Vdovychenko, Artem & Oros, Galyna, 2014. "Financial stress index: estimation and application in empirical researches in Ukraine," MPRA Paper 69337, University Library of Munich, Germany.
    5. Houda Rharrabti Zaid, 2015. "Transmission du stress financier de la zone euro aux Pays de l’Europe Centrale et Orientale," EconomiX Working Papers 2015-37, University of Paris Nanterre, EconomiX.

    More about this item

    Keywords

    European financial crisis; financial market stress indicator; liquidity; stock markets.;

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eco:journ1:2014-01-19. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ilhan Ozturk). General contact details of provider: http://www.econjournals.com .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.