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Financial stress index: estimation and application in empirical researches in Ukraine

Author

Listed:
  • Vdovychenko, Artem
  • Oros, Galyna

Abstract

The article is an overview of advanced scientific researches, dedicated to estimation financial stress index. It describes theoretical nature and practical applications of the indicator as a tool for monitoring the crisis on the financial markets. Based on the previous findings and taking into account specific demands of national finances, was offered own concept of estimation Ukrainian financial stress index. Authors demonstrate analytical capabilities of this index to analyze fiscal policy. Also was provided number of theoretical conclusions about regimes of fiscal policy and corresponding levels of financial security. According to the survey, fiscal policy behavior is the same on the extreme points of the interval of financial stress and makes diametric changes in main parameters, when reaches an average level.

Suggested Citation

  • Vdovychenko, Artem & Oros, Galyna, 2014. "Financial stress index: estimation and application in empirical researches in Ukraine," MPRA Paper 69337, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:69337
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    File URL: https://mpra.ub.uni-muenchen.de/69337/1/MPRA_paper_69337.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. Legrenzi, Gabriella & Milas, Costas, 2013. "Modelling the fiscal reaction functions of the GIPS based on state-varying thresholds," Economics Letters, Elsevier, vol. 121(3), pages 384-389.
    3. Dimitrios P. Louzis & Angelos T. Vouldis, 2013. "A financial systemic stress index for Greece," Working Papers 155, Bank of Greece.
    4. Kremer, Manfred & Lo Duca, Marco & Holló, Dániel, 2012. "CISS - a composite indicator of systemic stress in the financial system," Working Paper Series 1426, European Central Bank.
    5. repec:ecb:ecbwps:20111426 is not listed on IDEAS
    6. Shaen Corbet, 2014. "The European Financial Market Stress Index," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 217-230.
    7. Kliesen, Kevin L. & Owyang, Michael T. & Vermann, E. Katarina, 2012. "Disentangling diverse measures: a survey of financial stress indexes," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 369-398.
    8. Robert Vermeulen & Marco Hoeberichts & Bořek Vašíček & Diana Žigraiová & Kateřina Šmídková & Jakob Haan, 2015. "Financial Stress Indices and Financial Crises," Open Economies Review, Springer, vol. 26(3), pages 383-406, July.
    9. Park, Cyn-Young & Mercado, Rogelio V., 2014. "Determinants of financial stress in emerging market economies," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 199-224.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    financial stress index; financial crisis; episode of financial stress; fiscal policy; fiscal policy regime switches; non-linear fiscal reaction functions;

    JEL classification:

    • H0 - Public Economics - - General
    • O57 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Comparative Studies of Countries

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