IDEAS home Printed from https://ideas.repec.org/p/gii/giihei/heidwp15-2020.html

A New Financial Stress Index for Ukraine

Author

Listed:
  • Vladyslav Filatov

    (National Bank of Ukraine)

Abstract

This study improves on the methodology for calculating the financial stress index (FSI) for Ukraine by introducing time-varying correlation into the aggregation of 5 sub-indices (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, sub-indices, and index, we use area under the receiver operating characteristic curve (AUROC) and logit tests. Each sub-index 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, 2020. "A New Financial Stress Index for Ukraine," IHEID Working Papers 15-2020, Economics Section, The Graduate Institute of International Studies.
    • Handle: RePEc:gii:giihei:heidwp15-2020
    as

    Download full text from publisher

    File URL: http://repec.graduateinstitute.ch/pdfs/Working_papers/HEIDWP15-2020.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Somnath Chatterjee & Jeremy Chiu & Sinem Hacioglu-Hoke & Thibaut Duprey, 2017. "A financial stress index for the United Kingdom," Bank of England working papers 697, Bank of England.
    2. Lang, Jan Hannes & Izzo, Cosimo & Fahr, Stephan & Ruzicka, Josef, 2019. "Anticipating the bust: a new cyclical systemic risk indicator to assess the likelihood and severity of financial crises," Occasional Paper Series 219, European Central Bank.
    3. Lesia Tyshchenko & Attila Csajbok, 2017. "A Financial Stress Index for Ukraine," Visnyk of the National Bank of Ukraine, National Bank of Ukraine, issue 240, pages 5-13.
    4. repec:ecb:ecbwps:20111426 is not listed on IDEAS
    5. Kevin L. Kliesen & Douglas C. Smith, 2010. "Measuring financial market stress," Economic Synopses, Federal Reserve Bank of St. Louis.
    6. Thibaut Duprey, 2020. "Canadian Financial Stress and Macroeconomic Condition," Canadian Public Policy, University of Toronto Press, vol. 46(S3), pages 236-260, October.
    7. Thibaut Duprey & Alexander Ueberfeldt, 2018. "How to Manage Macroeconomic and Financial Stability Risks: A New Framework," Staff Analytical Notes 2018-11, Bank of Canada.
    8. Duprey, Thibaut & Klaus, Benjamin & Peltonen, Tuomas, 2017. "Dating systemic financial stress episodes in the EU countries," Journal of Financial Stability, Elsevier, vol. 32(C), pages 30-56.
    9. Mikhail V. Oet & John M. Dooley & Stephen J. Ong, 2015. "The Financial Stress Index: Identification of Systemic Risk Conditions," Risks, MDPI, vol. 3(3), pages 1-25, September.
    10. Mark Illing & Ying Liu, 2003. "An Index of Financial Stress for Canada," Staff Working Papers 03-14, Bank of Canada.
    11. 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.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Andrea Cipollini & Ieva Mikaliunaite, 2021. "Financial distress and real economic activity in Lithuania: a Granger causality test based on mixed-frequency VAR," Empirical Economics, Springer, vol. 61(2), pages 855-881, August.
    2. Layal MansourIshrakieh & Leila Dagher & Sadika El Hariri, 2020. "A financial stress index for a highly dollarized developing country : The case of Lebanon," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 20(2), pages 43-52.
    3. Mansour-Ichrakieh, Layal & Zeaiter, Hussein, 2019. "The role of geopolitical risks on the Turkish economy opportunity or threat," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    4. Yao, Xiaoyang & Le, Wei & Sun, Xiaolei & Li, Jianping, 2020. "Financial stress dynamics in China: An interconnectedness perspective," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 217-238.
    5. repec:pra:mprapa:99376 is not listed on IDEAS
    6. Tan, Sook-Rei & Li, Changtai & Yeap, Xiu Wei, 2022. "A time-varying copula approach for constructing a daily financial systemic stress index," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    7. Mikhail V. Oet & John M. Dooley & Amanda C. Janosko & Dieter Gramlich & Stephen J. Ong, 2015. "Supervising System Stress in Multiple Markets," Risks, MDPI, vol. 3(3), pages 1-25, September.
    8. Oet, Mikhail V. & Bianco, Timothy & Gramlich, Dieter & Ong, Stephen J., 2013. "SAFE: An early warning system for systemic banking risk," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4510-4533.
    9. Mansour Ishrakieh, Layal & Dagher, Leila & El Hariri, Sadika, 2018. "The Institute of Financial Economics Financial Stress Index (IFEFSI) for Lebanon," MPRA Paper 116054, University Library of Munich, Germany.
    10. Somnath Chatterjee & Ching‐Wai (Jeremy) Chiu & Thibaut Duprey & Sinem Hacıoğlu‐Hoke, 2022. "Systemic Financial Stress and Macroeconomic Amplifications in the United Kingdom," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(2), pages 380-400, April.
    11. Thibaut Duprey, 2020. "Canadian Financial Stress and Macroeconomic Condition," Canadian Public Policy, University of Toronto Press, vol. 46(S3), pages 236-260, October.
    12. F. Boissay & F. Collard & C. Manea & A. Shapiro, 2025. "Monetary Tightening and Financial Stress During Supply- versus Demand-Driven Inflation," International Journal of Central Banking, International Journal of Central Banking, vol. 21(2), pages 147-220, April.
    13. Polat, Onur & Ozkan, Ibrahim, 2019. "Transmission mechanisms of financial stress into economic activity in Turkey," Journal of Policy Modeling, Elsevier, vol. 41(2), pages 395-415.
    14. Varga, Katalin & Szendrei, Tibor, 2025. "Non-stationary financial risk factors and macroeconomic vulnerability for the UK," International Review of Financial Analysis, Elsevier, vol. 97(C).
    15. Sun, Lixin & Huang, Yuqin, 2016. "Measuring the instability of China's financial system: Indices construction and an early warning system," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 10, pages 1-41.
    16. Nadri, Kamran & Ebrahimi, Sajad & Fadaie, Abbas, 2018. "Assessment of Financial Stability in the Banking Sector in Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 13(4), pages 501-523, October.
    17. Michał Fronc & Piotr Mielus, 2017. "Financial convergence on emerging markets: the case of CEE countries," Bank i Kredyt, Narodowy Bank Polski, vol. 48(2), pages 149-172.
    18. Drenkovska, Marija & Lenarčič, Črt, 2025. "Financial markets stress indicator for Slovenia (FIMSIS)," MPRA Paper 125551, University Library of Munich, Germany.
    19. Carpenter, Seth & Demiralp, Selva & Schlusche, Bernd & Senyuz, Zeynep, 2014. "Measuring stress in money markets: A dynamic factor approach," Economics Letters, Elsevier, vol. 125(1), pages 101-106.
    20. Duprey, Thibaut & Klaus, Benjamin & Peltonen, Tuomas, 2017. "Dating systemic financial stress episodes in the EU countries," Journal of Financial Stability, Elsevier, vol. 32(C), pages 30-56.
    21. Haddou, Samira, 2022. "International financial stress spillovers to bank lending: Do internal characteristics matter?," International Review of Financial Analysis, Elsevier, vol. 83(C).

    More about this item

    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

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gii:giihei:heidwp15-2020. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dorina Dobre (email available below). General contact details of provider: https://edirc.repec.org/data/ieheich.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.