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Supervising System Stress in Multiple Markets

Listed author(s):
  • Mikhail V. Oet

    ()

    (Economist, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA
    Nonprofit Research Fellow, Case Western Reserve University, 10900 Euclid Ave, Cleveland, OH 44106, USA)

  • John M. Dooley

    ()

    (Economic Analyst, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA)

  • Amanda C. Janosko

    ()

    (Economic Analyst, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA)

  • Dieter Gramlich

    ()

    (Professor of Banking, Baden-Wuerttemberg Cooperative State University, Heidenheim 89518, Germany)

  • Stephen J. Ong

    ()

    (Vice President, Supervision and Regulation, Federal Reserve Bank of Cleveland, 1455 E 6th St, Cleveland, OH 44114, USA)

This paper develops an extended financial stress measure that considers the supervisory objective of identifying risks to the stability of the financial system. The measure provides a continuous and bounded signal of financial stress using daily public market data. Broad coverage of material financial system markets over time is achieved by leveraging dynamic credit weights. We consider how this measure can be used to monitor, analyze, and alert financial system stress.

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Article provided by MDPI, Open Access Journal in its journal Risks.

Volume (Year): 3 (2015)
Issue (Month): 3 (September)
Pages: 1-25

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Handle: RePEc:gam:jrisks:v:3:y:2015:i:3:p:365-389:d:55737
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