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A New Financial Stress Index for Ukraine

Author

Listed:
  • Vladyslav Filatov

    (National Bank of Ukraine
    National University of Kyiv-Mohyla Academy)

Abstract

TThis study improves on the methodology for calculating the financial stress index (FSI) for Ukraine by introducing a time-varying correlation into the aggregation of five subindices (representing the banking sector, households, the corporate sector, government securities, and the foreign exchange (FX) market). The index consists of 20 indicators selected from an initial list of 47 potential candidates. To check the performance of the indicators, subindices, and the index, we use the area under the receiver operating characteristic curve (AUROC) and logit tests. Each subindex is assigned a weight that reflects the impact of each market on the financial system. This new FSI peaks during periods of crisis that are in line with the consensus of financial experts and performs better than the previous FSI, which makes it more attractive for policy decisions. In particular, the new FSI can be used as a monitoring tool for the macroprudential policy of the National Bank of Ukraine.

Suggested Citation

  • Vladyslav Filatov, 2021. "A New Financial Stress Index for Ukraine," Visnyk of the National Bank of Ukraine, National Bank of Ukraine, issue 251, pages 37-54.
    • Handle: RePEc:ukb:journl:y:2021:i:251:p:37-54
    DOI: 10.26531/vnbu2021.251.03
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    File URL: https://journal.bank.gov.ua/en/article/2021/251/03
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    References listed on IDEAS

    as
    1. Thibaut Duprey, 2020. "Canadian Financial Stress and Macroeconomic Condition," Canadian Public Policy, University of Toronto Press, vol. 46(S3), pages 236-260, October.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    financial stability; financial stress index; indicator performance;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G01 - Financial Economics - - General - - - Financial Crises
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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