Indexy finančního stresu pro Českou republiku a Maďarsko
[Financial Stress Indexes for the Czech Republic and Hungary]
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.
Volume (Year): 2012 (2012)
Issue (Month): 5 ()
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References listed on IDEAS
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- Petr Jakubík & Petr Teplý, 2011. "The JT Index as an Indicator of Financial Stability of Corporate Sector," Prague Economic Papers, University of Economics, Prague, vol. 2011(2), pages 157-176.
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"Jsou finanční indikátory schopny předpovídat vývoj ekonomické aktivity?
[Are financial indicators capable of predicting economic activity?]," Politická ekonomie, University of Economics, Prague, vol. 1999(5).
- Asli DemirgÃ¼Ã§-Kunt & Enrica Detragiache, 1998. "The Determinants of Banking Crises in Developing and Developed Countries," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 81-109, March.
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