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Measuring Financial Systemic Stress In Romania: A Composite Indicator Approach

Author

Listed:
  • NAGY, Ágnes

    (Babeş-Bolyai University of Cluj-Napoca, Faculty of Economics and Business Administration)

  • DÉZSI-BENYOVSZKI, Annamária

    (Babeş-Bolyai University of Cluj-Napoca, Faculty of Economics and Business Administration)

  • SZÉKELY, Imre

    (Babeş-Bolyai University of Cluj-Napoca, Faculty of Economics and Business Administration)

Abstract

The authorities and financial supervisors recognized, following the financial and economic crises, that the process of identification of systemic risks should receive more attention. The aim of this paper is to construct a financial systemic stress indicator which aims to predict which financial stress tends to depress the real economy in Romania. We obtained the composite indicator with the aggregation of five market-specific subindices created from individual financial stress measures (foreign exchange market, bond market, equity market, money market and banking sector). The systemic nature of stress is captured by the time-varying correlations between market segments. This indicator represents a real-time measure of systemic risk and quantify stress in the Romanian financial system. The results show that the financial systemic stress index is able to provide a periodization of crises.

Suggested Citation

  • NAGY, Ágnes & DÉZSI-BENYOVSZKI, Annamária & SZÉKELY, Imre, 2016. "Measuring Financial Systemic Stress In Romania: A Composite Indicator Approach," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 20(3), pages 28-38.
  • Handle: RePEc:vls:finstu:v:20:y:2016:i:3:p:28-38
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    References listed on IDEAS

    as
    1. Islami, Mevlud & Kurz-Kim, Jeong-Ryeol, 2013. "A single composite financial stress indicator and its real impact in the euro area," Discussion Papers 31/2013, Deutsche Bundesbank.
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    More about this item

    Keywords

    financial system; systemic risk; financial crisis; composite indicator; emerging economy;

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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