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Systemic Financial Stress: a composite indicator for BRIC area

Author

Listed:
  • Luigi Mersico

    (Dipartimento di Ingegneria, Università degli Studi di Perugia)

Abstract

The article proposes a new financial stress indicator for the BRIC area using data from 1997 to 2015. The composite indicator is the synthesis of three underlying indicators for the stock market; exchange rates market and the debt market. Empirical analysis shows that the indicator is able to capture the major financial stress episodes that have characterized the economies under analysis.

Suggested Citation

  • Luigi Mersico, 2017. "Systemic Financial Stress: a composite indicator for BRIC area," Argomenti, University of Urbino Carlo Bo, Department of Economics, Society & Politics, vol. 6(6), pages 1-30, January-A.
    • Handle: RePEc:urb:journl:v:6:y:2017:p:1-30
    DOI: 10.14276/1971-8357.645
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    More about this item

    Keywords

    financial crises; financial markets; financial stress indicator.;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F30 - International Economics - - International Finance - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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