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Indexy finančního stresu pro Českou republiku a Maďarsko
[Financial Stress Indexes for the Czech Republic and Hungary]

Author

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  • Milan Šimáček

Abstract

Financial stress indexes provide a new tool for regulatory and public institutions, which participate in the supervision of financial markets and in the monitoring of the development of risk in financial markets. Our paper introduced a number of methods of building the financial stress index for the Czech Republic and Hungary. We have developed our indices based on the variables representing the level of financial stress by the movement of market prices of assets, which provides a higher frequency to the measurement of financial stress in the main sectors of financial system, ie. banking, money market, currency, fixed income and equity sectors. We have than evaluated our indices by the effectiveness to identify periods of increased financial stress based on the deviation by one standard deviation of the value of the index from the median value. Comparing periods identified with this method with historical periods of increased financial stress, we came to the conclusion that my financial stress index for each country successfully identifies the development and level of stress in financial system.

Suggested Citation

  • Milan Šimáček, 2012. "Indexy finančního stresu pro Českou republiku a Maďarsko [Financial Stress Indexes for the Czech Republic and Hungary]," Politická ekonomie, Prague University of Economics and Business, vol. 2012(5), pages 614-634.
    • Handle: RePEc:prg:jnlpol:v:2012:y:2012:i:5:id:866:p:614-634
    DOI: 10.18267/j.polek.866
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    References listed on IDEAS

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    6. Craig S. Hakkio & William R. Keeton, 2009. "Financial stress: what is it, how can it be measured, and why does it matter?," Economic Review, Federal Reserve Bank of Kansas City, vol. 94(Q II), pages 5-50.
    7. Tai-kuang Ho, 2004. "How Useful are Regime-Switching Models in Banking Crises Identification?," Econometric Society 2004 Far Eastern Meetings 764, Econometric Society.
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    More about this item

    Keywords

    financial crises; systemic risk; Financial stress index; financial system;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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